In modern frameworks for financial regulation such as Basel III, IV as well as Solvency II, financial institutions are regulated to maintain a certain level of capital to prepare for potential future losses. In this paper, we take the perspective of a regulator who designs regulatory capital...

Risk can be defined as the likelihood that you can deliver your promise. This paper has used the European put option and the European call option to construct the p-index and c-index to measure the risk levels (likelihoods) of owning or short-selling an asset when the asset provides at least δ...

We propose a novel specification strategy using a SVAR identified with zero and sign-restrictions to uncover real-time financial shocks in Chilean markets. We build on the literature that employs economically intuitive sign restrictions on the comovement of stocks and bonds to distinguish...

It is well documented in the literature that the forecasts of Value-at-Risk (VaR) and Expected Shortfall (ES) can be improved by additional high-frequency information (i.e., realized volatility). However, existing framework provides no apparent way of integrating effective low-frequency signals....

Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach to apply is an endless debate in the statistics of extremes research. This paper uses EVT methods to model the five-year daily all-share total return index (ALSTRI) and the...