risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

Purpose - This paper measures different market risk impacts on options portfolios under the new Fundamental Review of … estimate a portfolio's risk capital and presents an illustration applied to an option position. Second, it proposes a … application is developed to measure expected shortfall (ES) and value at risk (VaR) impacts under FRTB versus conventional VaR in …

, its consequences for model risk related to the estimation process have not been explored. Hence, the aim of this paper is … financial institutions' trading book positions. Among others, a replacement of Value-at-Risk (α=0.99) by Expected Shortfall (α=0 ….975) for the quantification of market risk is recommended. While this increases capital requirements for heavy tailed risks …

-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In … this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk … universe of real historical returns from all asset classes. Finally, we extend the methodology from single risk factors to …

risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT … must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at … Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are …

that the calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … enough diversification of risk in a global credit portfolio to allow for a good hedge. Over the whole sample, the reduction … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency …

problem. Equipped with the new portfolio theory, we can quantify market liquidity risk and introduce a new market risk measure …The main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk … measurement. We first review two types of liquidity risk and the relation between liquidity risk and market risk. To achieve our …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …