Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i ….e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and … trading a position, we first define market liquidity risk, its dimensions (tightness, depth, resiliency, immediacy) and causes …

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 …

portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance approach to VaR - rest …

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 …

interest rates are low and the risk of disruptions in the global financial system are negligible. We also document that capital …

The trade-off theory on capital structure is tested by modelling the capital structure target as the solution to a … maximization problem. This solution maps asset volatility and loss given default to optimal leverage. By applying nonlinear … determinants. In contrast, the framework applied here allows for a direct test: results confirm the trade-off theory for small and …

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias … reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find … that an alternative estimation based on NOWMAN (1997) does not sufficiently solve the problem of time aggregation. We …

is a new risk factor for enterprises taking part in this system. In this paper, we analyze how risk emerging from … loss account accounting for uncertainties and dependencies. Consequently, this model provides a basis for risk assessment …