The COVID-19 pandemic has been an extraordinary event, the type of event that rarely
occurs but that has major impacts on the stock market. The pandemic has created high …

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 …

Basel III represents a crucial step in strengthening the capital rules underlying banking
operations, aimed at reducing the probability and severity of a systemic crisis. Alongside two …

Abstract Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools
widely used by financial risk managers across the globe. However, they are time consuming …

The present study compares the performance of the long memory FIGARCH model, with that
of the short memory GARCH specification, in the forecasting of multi-period value-at-risk …

This study derives the quantiles of the standardized generalized t (GT) in terms of a
nonlinear equation which contains a regularized incomplete beta function. Then the …

Considering both the limitations of traditional models of value-at-risk and expected shortfall
(ES) for risk estimation in the context of the Basel standards and the possibilities of applying …

In this paper the authors introduce a new hybrid approach based on the Extreme Value
Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high …

The aim of this paper is to examine the information embedded in the implied volatility index
and the variance risk premium in terms of quantifying market risk for developed and …

This paper addresses the question whether dual long memory (LM), asymmetry and
structural breaks in stock market returns matter when forecasting the value at risk (VaR) and …