We consider a capital at risk (CaR) minimization problem in an incomplete market Black-Scholes setting. The …

Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of … ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the … Sharpe ratio and reduce drawdowns. We apply inter-temporal risk parity strategies to factor investing, namely value and …

We highlight important and specific characteristics of default risk and methodological implications. In a simulation … risk in conventional portfolio models of default …

/09 another way to deal with diversification came up, that is equally-weighted risk contribution portfolio. This kind of procedure … leads not to equalize the portfolio weights but the risk weights. The only thing to understand is how we can measure risk …. While many authors focus on volatility, in this paper we shall present an alternative and coherent risk measure, that is …

improve the risk-adjusted returns across various asset classes. The purpose of this paper is to present an alternative and … simple quantitative risk based portfolio management that improves the risk-adjusted portfolio returns across various asset … classes. This approach, based on the conclusions of Brandolini D. – Colucci S. 'Backtesting Value-at-Risk: A comparison …

The probabilities considered in value-at-risk (VaR) are typically of moderate deviations. However, the variance …-tailed risk factors using multivariate $t$ distributions, we develop a new moderate-deviations method for VaR computation. We show …

This paper provides a strategy for portfolio risk management by inferring extreme movements in financial markets. The … generation for future returns, estimation of portfolio profit-and-loss distribution and calculation of risk measures, and hence …

Calculation of portfolio risk distributions, e.g. as used in the calculation of a "value at risk", may involve a huge … that every product V[i] has to be valued under every scenarios X[j]. One application would be some stress-value-at-risk … market data, it is not admissible to assume smallness in general. In the application of tail risk the larger scenario moves …

portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …