Abstract Value-at-risk (VaR) is the most common and widely used risk measure that
enterprises, particularly major banking corporations and investment bank firms employ in …

Traditional econometric modelling typically follows the idea that market returns follow a
normal distribution. However, the concept of tail risk indicates that the distribution of returns …

Abstract Value at Risk (VaR) is one of the most common risk management tools in finance.
Since a portfolio of several assets, rather than one asset portfolio, is advantageous in the …

This research work presents an empirical and theoretical discussion on the area of
quantifying risk using parametric loss distributions to model insurance claims data. That is …

The purpose of this study is to investigate and describe the riskiness of an investment in the
South African Financial Index (J580) using four relatively heavy tailed statistical parent …

This paper studies a subclass of the class of generalized hyperbolic distribution called the
semi-hyperbolic distribution. We obtain analytical expressions for the cumulative distribution …

Call options of stock have a nonlinear dependence on market risk factors, thus encouraging
the development of a method capable of measuring the risk of call option of stock, namely …

In the financial system, banks are exposed to market risk which has to be assessed in line
with regulatory risk measurement standards of Value-at-Risk and Expected Shortfall. The …

The economic meltdown of 2007-2008 prompted regulatory bodies around the world to
institute major changes in the financial sector. One such change is the replacement of value …

Riske Maruz Değer (RMD) uygulamalarında getiri dağılımı üzerine yapılan varsayımlar
önemli bir rol oynamaktadır. Yıllar içinde yapılan çalışmalar göstermiştir ki birçok finansal …