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 …

reactions to market jumps with implications for portfolio risk management. Employing high-frequency data for the constituents of … to the downside and upside jumps can be mitigated. We contrast the risk exposure of individual stocks with those of the …

-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both …

Extreme Value Theory (EVT) deals with the analysis of rare events and it has been recently used in finance to predict … has been used to model the loss severities in Operational Risk management, while the use of GARCH-EVT models has gained … popularity when computing the Value at Risk (or other risk measures) in Market Risk management. To date, little attention has …

We modify Adrian and Brunnermeier's (2011) CoVaR, the Value-at-Risk (VaR) of the financial system conditional on an … time-varying correlation. We define the systemic risk contribution of an institution as the change from its CoVaR in its … systemic risk contributions of four financial industry groups consisting of a large number of institutions for the sample …

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 …

In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk …

methodology is based on both the general copula concepts and some core results from the extreme value theory (EVT). The main … it makes use of elliptical generalized or grouped t Student copulas to model the dependence structure of risk …