the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … confidence levels while other models fail to specify the risk correctly. This analysis shows that ignoring the actual nature of … dependence might lead to an underestimation of the risk for portfolios combining EUAs with commodities or equity investments …

risk and typically need to assume stability of these characteristics over time and across decision domains. We test the … reliability of two choice tasks for eliciting discount rates, risk aversion, and probability weighting and assess the stability of … largely uncorrelated with decisions in other important life domains involving intertemporal trade-offs and risk …

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the …

estimate the median to lie too close to the distribution's center. The observed bias in expectations is irrespective to risk …