The paper has three objectives. After a general introduction to some of the concepts and
basic techniques of stress testing, the paper gives an overview of some of the conceptual …

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 …

Forecasts of oil price volatility are important inputs into macroeconometric models, financial
market risk assessment calculations like value at risk, and option pricing formulas for futures …

This article presents an application of extreme value theory to compute the value at risk of a
market position. In statistics, extremes of a random process refer to the lowest observation …

In portfolio optimization (PO), often, a risk measure is an objective to be minimized or an
efficient frontier representing the best tradeoff between return and risk is sought. In order to …

Financial Regulation presents an important restatement of the purposes and objectives of
financial regulation. The authors provide details and data on the scale, nature and costs of …

We relate value at risk (VaR) to mean-variance analysis and examine the economic
implications of using a mean-VaR model for portfolio selection. When comparing two mean …

The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to
portfolio allocation. We derive analytical expressions for the first and second derivatives of …

Abstract The Value-at-Risk (V@ R) is an important and widely used measure of the extent to
which a given portfolio is subject to risk inherent in financial markets. In this paper, we …

Bitcoin is an unregulated digital currency originally introduced in 2008 without legal tender
status. Based on a decentralized peer-to-peer network to confirm transactions and generate …