Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...

Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter ...

Operational risk reserves are still widely estimated using the loss distribution approach. The accuracy of the estimation depends heavily on the accuracy with which the extreme quantiles of the ...