This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
This paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold…
The aim of this paper is to systematically investigate the stability of operational value-at-risk (OpVaR) models when fitting heavy-tailed distributions to the relatively small sample sizes found in operational loss data.
Thomas Lee, chief executive at VivoSecurity, and Martin Liljeblad, operational risk manager at MUFG Americas, examine how a data breach cost model can replace an advanced measurement approach in a structured scenario
The author introduces the triangular approximation to the normal distribution in order to extract closed- and semi-closed-form solutions that are useful in risk measurement calculations.
This paper proposes a stochastic model for the maximal production of PV power on a daily basis, based on data from three transmission system operators in Germany.
Negative rates causing pricing model rethink
Market reaction to price changes and fat-tailed returns
A new breed of copulas for risk and portfolio management