. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model …

In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the … direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets …