businesses, regulators and senior management use capital allocation techniques. For enterprise-wide risk management, it has … become important to calculate the contribution of each risk within a portfolio. For that purpose, bivariate lower and upper … orthant tail value-at-risk can be used for capital allocation. In this paper, we present multivariate value-at-risk and tail-value-at-risk …

We evaluated the performance of multivariate models for forecasting Value at Risk (VaR), Expected Shortfall (ES) and … Expectile Value at Risk (EVaR). We used Historical Simulation (HS), Dynamic Conditional Correlation-Generalized Autoregressive … forecasting risk measure is associated with marginal distributions. For a data generating process where the marginal distribution …