In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

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 …

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models
forms part four of the Market Risk Analysis four volume set. Building on the three previous …

In this study, we analyse the implications of clean energy, oil and emission prices for the
energy sector stock in the GCC region. In so doing, we estimate one-day-ahead value at risk …

In this paper, we evaluate the value-at-risk (VaR) and the expected shortfalls for some major
crude oil and gas commodities for both short and long trading positions. Classical VaR …

This study proposes a bidimensional empirical mode decomposition based conditional
value at risk approach to explore the risk spillover effects between carbon market and …

Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to
model asset price volatility over time. This book introduces both the theory and applications …

The Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and
objective framework for stress testing portfolios exists. We propose a new methodology for …

This study seeks to compare the responses of G20 stock markets to the double blow of
COVID-19 and the historic oil price shock. By considering two different periods with distinct …

Determining and minimizing risk exposure pose one of the biggest challenges in the
financial industry as an environment with multiple factors that affect (non-) identified risks …