Since its original publication, Value at Risk has become the industry standard in risk
management. Now in its Third Edition, this international bestseller addresses the …

This article determines the type of asymptotic distribution for the extreme changes in US
Treasury yields. The thin‐tailed Gumbel and exponential distributions are strongly rejected …

We examine the impact of adding a value-at-risk (VaR) constraint to the problem of an active
manager who seeks to outperform a benchmark while minimizing tracking error variance …

We examine the economic implications arising from a bank using a VaR-constrained mean-
variance model for the selection of its trading portfolio as a consequence of the Basle …

Banking supervisors need to know the amount of capital resources required by an institution
to support the risks taken. Traditional approaches, such as regulatory capital ratios, have …

The conventional portfolio value-at-risk model with the assumption of normal joint
distribution, which is commonly practiced, exhibits considerable biases due to model …

Does higher policy uncertainty lead to higher financial risk? This study provides evidence of
the opposite. Based on a sample of 16 listed banks from 2011 to 2020 in China, we find that …

Portfolio value‐at‐risk (PVAR) is widely used in practice, but recent criticisms have focused
on risks arising from biased PVAR estimates due to model specification errors and other …

Il libro presenta tutti i moderni concetti e strumenti necessari per la gestione del rischio di
credito su un portafoglio di prestiti bancari. Nella prima parte sono analizzati il rischio di …

In the aftermath of the financial crisis of the last decade, banking supervisors have sought
the solution to the problem of determining the optimal capital levels that an institution should …