Purpose – It is the purpose of this article to improve existing methods for risk management, in particular stress testing, for derivative portfolios. The method is explained and compared with other methods, using hypothetical portfolios. Design/methodology/approach – Closed form option...

Let (X1, Y1), (X2, Y2),..., (Xn, Yn) be a random sample from a bivariate distribution function F which is in the domain of attraction of a bivariate extreme value distribution function G. This G is characterized by the extreme value indices and its spectral measure or angular measure. The...

Purpose – It is the purpose of this article to improve existing methods for risk management, in particular stress testing, for derivative portfolios. The method is explained and compared with other methods, using hypothetical portfolios. Design/methodology/approach – Closed form option...

This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan et al. [Doukhan, P., Latour, A., Oraichi, D., 2006. A simple integer-valued bilinear time series model. Adv. Appl. Prob. 38, 559-578]. Using a hidden Markov argument, we extend their result of the...

We propose a class of distribution-free rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which need not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite-sample size,...