The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical …-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This … is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination …

obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 …

for market risk. The Committee has focused, among other things, on the two key areas of moving from Value-at-Risk (VaR) to … Expected Shortfall (ES) and considering a comprehensive incorporation of the risk of market illiquidity by extending the risk … measurement horizon. The estimation of the ES for several trading desks and taking into account different liquidity horizons is …

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …) on the daily closing price of JKII from 1 August 2020-13 August 2021 to predict the price and loss risk of JKII at 16 … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of …