Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product...

The study investigates the relative performance of Value-at-Risk (VaR) models using daily share price index data from six different countries across Asia, Europe and the United States for a period of 10years from January 01, 2000 to December 31, 2009. The main emphasis of the study has been...

The purpose of the study is to estimate tail-related risk measures using extreme value theory (EVT) in the Indian stock market. The study employs a two stage approach of conditional EVT originally proposed by McNeil and Frey (2000) to estimate dynamic Value at Risk (VaR) and expected shortfall...