The quantification of diversification benefit plays a critical role in quantitative risk models, especially within the context of regulatory and economic capital. However, the complexity of today's risk landscape, together with the associated uncertainty surrounding the modeling of dependencies...

This paper introduces Stressed Expected Shortfall (ES) and mathematically correct analytic VaR applied to portfolios of emerging markets and illiquid assets with large liquidation horizons and/or high volatilities. The new metrics are explicitly derived for the normal distribution of price...

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation...