The estimation of risk measures is an area of highest importance in the financial industry. Risk measures play a major role in the risk-management and in the co

The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation an

This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from

"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a

Expected shortfall is compared with Value-at-Risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. Advantages and d