The interest in forecasting the Value at Risk (VaR) has been growing over the last two
decades, due to the practical relevance of this risk measure for financial and insurance …

Extreme value theory is concerned with the study of the asymptotic distribution of extreme
events, that is to say events which are rare in frequency and huge in magnitude with respect …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually
superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues …

This article presents flexible new models for the dependence structure, or copula, of
economic variables based on a latent factor structure. The proposed models are particularly …

Risk measures are used not only for financial institutions' internal risk management but also
for external regulation (eg, in the Basel Accord for calculating the regulatory capital …

This paper attempts to provide a decision-theoretic foundation for the measurement of
economic tail risk, which is not only closely related to utility theory but also relevant to …

This article reviews two leading measures of financial risk and an emerging alternative.
Embraced by the Basel accords, value-at-risk and expected shortfall are the leading …

Heavy Tails and Copulas : Introduction and Overview Page 1 Chapter 1 Introduction and
Overview In this chapter, we set the stage by defining the subject matter of the book and …

Cryptocurrency investments are often perceived as uncertain and risky. In this study, we
assessed if this is indeed the case, using a sample of seven cryptocurrencies and …

This paper analyzes the robustness of standard techniques for risk analysis, with a special
emphasis on the Basel III risk measures. We focus on the difference between value-at-risk …