...Trung Hai Le Purpose This paper investigates how various strategies for combining forecasts, both simple and optimised approaches, are compared with popular individual risk models in estimating value-at-risk (VaR) and expected shortfall (ES) in emerging market at alternative risk levels. Design...

...Julia S. Mehlitz; Benjamin R. Auer Purpose Motivated by the growing importance of the expected shortfall in banking and finance, this study aims to compare the performance of popular non-parametric estimators of the expected shortfall (i.e. different variants of historical, outlier-adjusted...

... to the Cornish–Fisher value-at-risk (CFVaR) methodology for their market risk assessment. We test CFVaR at 97.5% confidence level on 70 UL products, and we test Cornish–Fisher expected shortfall (CFES) at the same confidence level, which acts as a counter methodology for CFVaR. Findings The paper provides...

...Hemant Kumar Badaye; Jason Narsoo Purpose This study aims to use a novel methodology to investigate the performance of several multivariate value at risk (VaR) and expected shortfall (ES) models implemented to assess the risk of an equally weighted portfolio consisting of high-frequency (1-min...

... ( σ ^ z + μ ^ )   ) ( 1 + ( σ ^ z + μ ^ ) 2 ) m + 1 2 Value-at-risk Bitcoin GJR-GARCH model Expected shortfall Pearson type-IV distribution Regulatory loss functions The recent global financial crisis and the European...

... value-at-risk and expected shortfall. Finally, this paper highlights the importance of validating assumptions behind the risk model and describes its application in the affine model framework. Design/methodology/approach The method proposed is based on Fourier transform methods for computing risk...