This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During...

A aplicação de métricas de risco na EDP é fundamental não só para apoio à decisão sobre operações de Trading no mercado de electricidade e de combustíveis, como também, na tomada de decisões no âmbito do Plano de Negócios com base numa avaliação periódica do nível de risco de...

The financial crisis of 2008 has been extremely challenging and, at the same time, illuminating period for market risk managers. The crisis revealed a convoluted nature of the market risk and put market risk models to the crash test. The epic failure of the risk management models culminated in a...

We study the impact of parameter and model uncertainty on the left-tail of predictive densities and in particular on VaR forecasts. To this end, we evaluate the predictive performance of several GARCH-type models estimated via Bayesian and maximum likelihood techniques. In addition to individual...