In the present paper we develop an asymptotic expansion method for a suitable class of stochastic differential equation, using methods by S. Watanabe (1987) (see also Ikeda and Watanabe (1989) and Lutkebohmert (2004)). Such asymptotic expansion is calculated around the multidimensional...

We propose a class of discrete-time stochastic volatility models that, in a parsimonious way, captures the time-varying higher moments observed in financial series. We build this class of models in order to reach two desirable results. Firstly, we have a recursive procedure for the...

This paper presents the first methodological proposal of estimation of the Lambda VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting...