estimators of market risk. Despite advances in the theory and practice of evaluating risk, existing measures are notoriously poor … extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …The catastrophic failures of risk management systems in 2008 bring to the forefront the need for accurate and flexible …

estimation for the portfolio risk. Moreover we study the portfolio selection problem. We compute the marginal VaR and Component …, performance test, to realize the ”costs” of this risk reduction action in terms of potential return suppression. Little …

. Based on the empirical evidence presented in this paper, our framework offers more realistic portfolio risk measures and a … more tractable method for portfolio optimization. -- portfolio risk ; portfolio optimization ; portfolio budgeting …

For purposes of Value-at-Risk estimation, we consider three multivariate families of heavy-tailed distributions, which …