portfolio risk-management, it is found that this time-varying realized copula model exhibits very good forecasting properties … for the one-day ahead value at risk …

financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models …

financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and …, especially the Frank-GARCH models provide most conservative risk forecasts and out-perform all rival models. -- Copula … distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk …

can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the … courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As … a result, the non-technical aspects of risk (such as explanations of various types of financial risk, the driving …

construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming …

The estimation of risk factors and their replication through mimicking portfolios are of critical importance for … these macro mimicking factors can be used to improve the risk-return profile of a typical endowment multi-asset portfolio …