We investigate the influence of the dependence between random losses on the shortfall and on the diversification benefit that arises from merging these losses.We prove that increasing the dependence between losses, expressed in terms of correlation order, has an increasing effect on the...

The increase in trading frequency of Exchanged Traded Funds (ETFs) presents a positive externality for financial risk management when the price of the ETF is available at a higher frequency than the price of the component stocks. The positive spillover consists in improving the accuracy of...

We apply univariate GARCH models to construct a computationally simple filter for estimating the conditional correlation matrix of asset returns. The proposed Variance Implied Conditional Correlation (VICC) exploits the polarization result that links the correlation between two standardized...

The Minimum Covariance Determinant (MCD) approach estimates the location and scatter matrix using the subset of given size with lowest sample covariance determinant. Its main drawback is that it cannot be applied when the dimension exceeds the subset size. We propose the Minimum Regularized...