Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

Dieses Buch gibt einen Überblick über die aktuellsten Entwicklungen im Bereich Value at
Risk (VaR) und Expected Tail Loss (ETL). Mit umfassenden Informationen zu verschiedenen …

The article considers nonparametric estimation of value-at-risk (VaR) and associated
standard error estimation for dependent financial returns. Theoretical properties of the kernel …

Any risk-return tradeoff analysis in aggregate equity markets relies on appropriate measures
of risk, in most studies based on (co-) variance relations. Consequently, in integrated global …

Recent studies have strongly criticised conventional VaR models for not providing a
coherent risk measure. Acerbi provides the intuition for an entire family of coherent …

Extreme losses caused by leverage and financial derivatives highlight the need to backtest
Value-at-Risk (VaR) based on the sizes of tail losses, because the risk measure currently …

Integrated risk management for financial institutions requires an approach for aggregating
risk types (such as market and credit) whose distributional shapes vary considerably. The …

In this paper, we propose an index tracking model with the conditional value-at-risk (CVaR)
constraint based on a non-parametric kernel (NPK) estimation framework. In theory, we …

The financial systems in most developed countries today build up a large amount of model
risk on a daily basis. However, this is not particularly visible as the financial risk …

Value-at-Risk and its conditional allegory, which takes into account the available information
about the economic environment, form the centrepiece of the Basel framework for the …