and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate … model provide better results than those based on the normal distribution. -- copula ; multivariate distribution ; value-at-risk …

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an … application to financial data. -- Distribution functions ; dimension reduction ; risk management ; statistical models …

problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the …, practitioners access to new methods for their applications. The e-book design of the text links theory and computational tools in an …

and downside risk. Evidence from major advanced markets markets markets markets supports the supports the notion that … notion that notion that downside risk measured by value value value-at -risk ( risk (VaRVaRVaR) has significant information … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …