Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...

To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS-C-MGARCH) model of Fülle and Herwartz (2021). As an...

In this paper we propose a simple one-factor quantile regression model based on realized volatility to forecast Value-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with most other methodologies currently used to...

We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical...

This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer maximize their expected utilities of end-of-period wealth. In addition, we assume that the insurer and reinsurer wish to control their solvency risks, which are defined through...

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...