This paper investigates the prediction of Value-at-Risk (VaR) using option-implied information obtained by the maximum entropy method. The maximum entropy method provides an estimate of the risk-neutral distribution based on option prices. Besides commonly used implied volatility, we obtain...

This paper studies the detection of outliers in risk indicators based on large value payment system transaction data. The ten risk indicators are daily time series measuring various risks in the large value payment system, such as operational risk, concentration risk and liquidity flows related...

This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its...