This study examines the dependence structure and estimates the Value at Risk (V a R) and
risk spillover between cryptocurrencies, oil, and Gold market data. In this paper, we estimate …

Abstract Value-at-Risk (VaR) has become the universally accepted risk metric adopted
internationally under the Basel Accords for banking industry internal control, capital …

Purpose This paper investigates the dependence structure and market risk of the currency
exchange rate portfolio from the Malaysian ringgit perspective. Design/methodology …

The aim of this paper is to examine the performance of the Value-at-Risk measure under
different distributional models in the highly demanding context of the recent financial crisis …

Given the growing need for managing financial risk and the recent global crisis, risk
prediction is a crucial issue in banking and finance. In this paper, we show how recent …

Este artículo evalúa la eficiencia de los contratos forward derivados de la tasa de cambio
dólares americanos/pesos colombianos (USD/COP), como instrumentos de cobertura de …

The risk management is seen as a process of dynamics complex including the interactions
of many elements. These elements typically include the cyber system, the social system and …

Development of non-crash-based safety estimation approaches has drawn considerable
research interest, and the application of extreme value theory is one of them. This study …

This article aims at underlying the importance of a correct modelling of the heavy-tail
behavior of extreme values of financial data for an accurate risk estimation. Many financial …

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