Conditional Value at Risk as a risk measure. Exploiting the fact that portfolios whose constituents follow an mGH distribution are … univariate GH distributed, we prove some results relating to measurement and decomposition of portfolio risk, and show how to …, using Worst Case Conditional Value at Risk as a risk measure …

Analysis (LDA) on operational risk data. We compare the performance of four severity distribution estimators, three well known … and one relatively new and assess their suitability for quantitative operational risk analysis. We start with a simulation … then evaluated on a real operational loss dataset where we focus on the risk measures Value at Risk (VaR) and Tail Value at …

calibrated, typically through maximum likelihood estimation, one may simulate the risk factor and build future scenarios for the …, although here we focus on the stochastic processes estimation preceding the simulation of the risk factors Finally, this first …In risk management it is desirable to grasp the essential statistical features of a time series representing a risk …

their calibration, we will elaborate on the application of the NIG-model for risk management purposes, and highlight the …

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. The risk …

This paper develops a dynamic risk management model to determine a firm's optimal risk management strategy. The risk …

literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose … integrals can be solved analytically. Second, it is reasoned that the originally proposed approach for the estimation of the PoD …