We propose a method for estimating Value at Risk (VaR) and related risk measures
describing the tail of the conditional distribution of a heteroscedastic financial return series …

Abstract Design of structural and multidisciplinary systems under uncertainties requires
estimation of their reliability or equivalently the probability of failure under the given …

The financial industry, including banking and insurance, is undergoing major changes. The
(re) insurance industry is increasingly exposed to catastrophic losses for which the …

An analysis of the links between risk management and value creation Risk Management
and Value Creation in Financial Institutions explores a variety of methods that can be utilized …

Recent increases in energy prices, especially oil prices, have become a principal concern
for consumers, corporations, and governments. Most analysts believe that oil price …

Abstract Since 2001, the Risk Management Group of the Basel Committee has been
performing specific surveys of banks' operational loss data. The second loss data collection …

Operational risk is being considered as an important risk component for financial institutions
as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl …

This paper analyzes whether the skew-normal and skew-student distributions recently
discussed in the finance literature are reasonable models for describing claims in property …

Very efficient sampling algorithms have been proposed to estimate rare event probabilities,
such as Importance Sampling or Importance Splitting. Even if the number of samples …

It is of great importance for those in charge of managing risk to understand how financial
asset returns are distributed. Practitioners often assume for convenience that the distribu¬ …