Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …

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 …

In this paper we propose using Value at Risk (VaR) for oil price risk quantification. VaR
provides an estimation for the maximum oil price change associated with a likelihood level …

Dieses Buch gibt einen Überblick über die aktuellsten Entwicklungen im Bereich Value at
Risk (VaR) und Expected Tail Loss (ETL). Mit umfassenden Informationen zu verschiedenen …

The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market
risks. The traditional approaches to VAR computations—the variance-covariance method …

Institutionelle Anleger, Fonds-und Portfoliomanager müssen Risiken eingehen, wenn sie
Spitzengewinne erzielen wollen. Die Frage ist nur wieviel Risiko." Risk Budgeting: Portfolio …

In this paper, we estimate and interpret the factors that jointly determine bond returns of
different maturities in the US, Germany and Japan. We analyze both currency-hedged and …

Performance persistence studies typically suffer from ex-post conditioning biases. As
stressed by Carhart [Carhart, MM, 1997. Mutual Fund Survivorship, Working Paper, Marshall …

We consider the practice-relevant problem of modelling multiple price curves to support
activities such as price curve simulation and risk management. In this multi-curve setting, the …

In the current low interest rate environment, the possibility of a sudden increase in rates is a
potentially serious threat to financial stability. As a result, analyzing interest rate risk (IRR) is …