We calculate the probability of returns exceeding a multiple of Expected Shortfall for fat-tailed portfolios. Our results show that, taken in isolation, the Basel 3 FRTB Market Risk capital requirements are insufficient to prevent a large number of insolvencies. The impact of applying a cutoff...

Professor Dolado has developed much of his professional career in three cities: Zaragoza, Oxford and Madrid. This fact, together with the recent appearance of literature relating climate with human behavior, has inspired us to analyze a set of relevant climate change issues linked to these...

The distribution of equity returns exhibits skewness and kurtosis. These two stylized facts are embedded in the multivariate volatility distribution of equity returns and are important in measuring the risk of an equity portfolio. In order to capture these attributes while estimating the...

In time series containing an autoregressive unit root, almost all known statistics can be described in terms of two Wiener functionals. It is therefore crucial for us to know how these functionals are jointly distributed in terms of explicit formulae that can be manipulated analytically, that do...