. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

rationale behind the bans was that "bear raids", driven by short-sellers, would increase the individual and systemic risk of … specifically target institutions with lower capital levels. Furthermore, institutions' risk-levels and changes in short …

Economic problems such as large claims analysis in insurance and value-at-risk in finance, requireassessment of the …

The paper studies risk mitigation associated with capital regulation, in a context when banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. When capital raising is costly, poorly capitalized banks may limit risk to avoid breaching the minimal capital ratio …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

An intensive and still growing body of research focuses on estimating a portfolio’s Value-at-Risk.Depending on both the … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial …

Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled …

backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk …