... 2026 06 05 2026 17 06 2026 © Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Historical simulation Density distances Value-at-risk Expected shortfall Fundação para a Ciência e a Tecnologia UID06522/2025 http://dx.doi.org...

... 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...

...Stavros Stavroyiannis Purpose The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. Design/methodology/approach A GJR-GARCH model has been implemented...

... 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...

...Sharif Mozumder; Michael Dempsey; M. Humayun Kabir Purpose The purpose of the paper is to back-test value-at-risk (VaR) models for conditional distributions belonging to a Generalized Hyperbolic (GH) family of Lévy processes – Variance Gamma, Normal Inverse Gaussian, Hyperbolic distribution and GH...

...Bhanu Sharma; Ruppa K. Thulasiram; Parimala Thulasiraman Purpose – Value-at-risk (VaR) is a risk measure of potential loss on a specific portfolio. The main uses of VaR are in risk management and financial reporting. Researchers are continuously looking for new and efficient ways to evaluate VaR...