This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...

Financial professionals have a great deal of discretion concerning how to relay information about the risk of financial products to their clients. This paper examines how different risk presentation modes influence how well investors understand the risk-return profile of financial products and how much risk they are willing to accept. We analyze four different ways of communicating risk: (i) nu...

Lundblad(2007,JFE) shows that the risk-return tradeoff is unequivocally positive with a two-century history of equity market data. A further examination of the relation with the UK monthly stock returns from 1836 to 2010 produces rather weak risk-return relation. I show that the risk-return relation is mostly positive but varies considerably over time based on a new nonlinear ICAPM with multiva...

“Integrated Enterprise Balancing with integrated return and risk databases” To support a value-based management and to satisfy regulatory transparency requirements and legal reporting obligations, corporations require a corporate-wide consistent database with return and risk information. Despite existing technical integration approaches, such as datawarehouse or OLAP solutions, the development ...

Water resources design has widely used the average return period as a concept to inform management and communication of the risk of experiencing an exceedance event within a planning horizon. Even though nonstationarity is often apparent, in practice hydrologic design often mistakenly assumes that the probability of exceedance, p, is constant from year to year which leads to an average return p...

The importance of funded private or occupational old age provision will increase due to demographic changes and the resulting problems for government-run pay-as-you-go systems. Clients and advisors therefore need reliable methodologies to match offered products and clients’ needs and risk appetite. In this paper, we analyze existing approaches such as sample illustrations and historical backtes...