This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

Recently, a new approach for optimization of Conditional Value-at-Risk (CVaR) was
suggested and tested with several applications. For continuous distributions, CVaR is …

In this paper, we analyze the portfolio selection implications arising from imposing a value-at-
risk (VaR) constraint on the mean-variance model, and compare them with those arising …

The traditional estimated return for the Markowitz mean‐variance optimization has been
demonstrated to seriously depart from its theoretic optimal return. We prove that this …

Because of its potential to... predict the unpredictable,... extreme value theory (EVT) and
methodology is currently receiving a great deal of attention from statistical and mathematical …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

Value at Risk (VaR) has emerged in recent years as a standard tool to measure and control
the risk of trading portfolios. Yet, existing theoretical analysis of the optimal behavior of a …

This paper suggests two new heuristic algorithms for optimization of Value-at-Risk (VaR). By
definition, VaR is an estimate of the maximum portfolio loss during a standardized period …

We study the behavior of a financial institution subject to capital requirements based on self-
reported VaR measures, as in the Basel Committee's Internal Models Approach. We view …

Historically, financial and insurance risks were separate subjects most often analyzed using
qualitative methods. The development of quantitative methods based on stochastic analysis …