A new mothod to estimate marginal VAR and marginal ES is presented
This paper discusses a VaR time-scaling approach based on fitting a distribution function so as to apply a Monte Carlo simulation to determine long-term VaR.
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Academics develop expected shortfall backtest to compare standardised and internal models
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
This paper studies alternative mixing models for external data for a particular risk class.
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
This paper puts forward two strategies for improving Historical Simulation in weak areas.
This issue of The Journal of Risk covers historical simulation and extreme value theory, as well as the assessment of bond portfolios with missing credit ratings and a behavioral perspective on option risk management.
Despite continuing to insist that replacing value-at-risk with expected shortfall in the Basel Capital accord is wrongheaded and potentially dangerous, David Rowe argues that the shift may have an important silver lining
Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS countries (Brazil, Russia, India, China and South Africa)...
Policy expert says most trading risks already captured under Pillar 2 framework
The papers published in this special issue investigate a variety of theoretical and empirical issues regarding risk sharing in Islamic finance.