VaR remains important in market risk management as Basel keeps most of the backtesting based on 1% VaR. Comparative backtesting as practiced in the current literature suffers from a major double problem. On the one hand, the score functions, although strictly consistent, may assign very good or...

We study the estimation and prediction of the risk measure Value at Risk for Cryptocurrencies. Using Generalized Random Forests (GRF) (Athey et al., 2019) that can be adapted to specifically fit the framework of quantile prediction, we show their superior performance over other established...

This study finds that downside tail risk , estimated from Korean corporate bond market data, predicts the excess returns of publicly listed investment-grade bonds. In addition to (normal) value at risk, estimated assuming a normal return distribution, abnormal risk , defined as the portion of...

We introduce a simplistic Value-at-Risk attribution methodology amendment designed specifically for the scenario where the entity is reporting its risk metrics in a currency that is different to that of the underlying commodity exposures

The estimation of loss distributions for dynamic portfolios requires the simulation of scenarios representing realistic joint dynamics of their components, with particular importance devoted to the simulation of tail risk scenarios. Commonly used parametric models have been successful in...

Multinational enterprises (MNEs) operating across different currencies are exposed to exchange rate risk. They may utilize a variety of tools to mitigate that risk. While there are different types of exchange rate risk, this study focuses specifically on the transaction exposure of cash flows...

Calculating risk measures can be extremely time consuming for large portfolios. Monte Carlo and historical value at risk and expected shortfall calculations can require repricing 1,000s of positions 1,000s of times. This makes risk calculations extremely challenging when the pricing functions...

We propose a family of range based risk measures to generalize the role of Value at Risk (VaR) in the formulation of Range Value at Risk (RVaR) considering other risk measures induced by a tail level. We discuss this type of measure in detail and its theoretical properties and representations....

In Section 2 of Bernard et al. (2020), we study bounds on Range Value-at-Risk (RVaR) under the assumption of non-negative risk. However, Proposition 3 is erroneous, and hence Theorems 3, 4, and 5 and Corollary 5 are no longer valid. In this corrigendum, we provide a direct replacement of these...

This article presents some of the pros and cons of variance and CVaR as portfolio risk measures in mean-risk optimization. While variance is the original risk measure, thoroughly studied for the past 70 years, this article argues that there are practically no reasons for continuing to use...