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 …

This paper gives a brief overview of the nonparametric techniques that are useful for
financial econometric problems. The problems include estimation and inference for …

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models
forms part four of the Market Risk Analysis four volume set. Building on the three previous …

The expected shortfall is an increasingly popular risk measure in financial risk management
and it possesses the desired sub-additivity property, which is lacking for the value at risk …

The Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and
objective framework for stress testing portfolios exists. We propose a new methodology for …

This paper studies functional coefficient regression models with nonstationary time series
data, allowing also for stationary covariates. A local linear fitting scheme is developed to …

We propose exponentially weighted quantile regression (EWQR) for estimating time-varying
quantiles. The EWQR cost function can be used as the basis for estimating the time-varying …

This paper considers a new nonparametric estimation of conditional value-at-risk and
expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted …

Extending the work of Jobson and Korkie (1981), Lo (2002) and Memmel (2003), this paper
applies the technique of the repeated measures design to develop the Multiple Sharpe ratio …

In this paper, we use Conditional Value-at-Risk (CVaR) to measure risk and adopt the
methodology of nonparametric estimation to explore the mean–CVaR portfolio selection …