One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns’ conditional distribution. Recent advances in the financial econometrics literature have developed several...

The Pareto model is very popular in risk management, since simple analytical formulas can be derived for financial downside risk measures (value-at-risk, expected shortfall) or reinsurance premiums and related quantities (large claim index, return period). Nevertheless, in practice,...