Introduced in the 1980s, value at risk has been a popular measure of financial risk.
However, value at risk suffers from a number of drawbacks as measure of financial risk. An …

We examine the risk neutral probability density (RND) for the S&P 500 extracted from real-
time bid and ask quotes for index options, under extreme market stress during the fall of …

Since the late nineties, the Basel Accords require financial institutions to measure their
financial risk by reporting daily predictions of Value at Risk (VaR) based on 10‐day returns …

It is well known that the normal distribution is inadequate in capturing the skewed and heavy-
tailed behaviour of exchange rate returns. To this end, various flexible distributions that are …

In the context of multiperiod tail risk (ie, VaR and ES) forecasting, we provide a new
semiparametric risk model constructed based on the forward-looking return moments …

Abstract The Cornish–Fisher expansion is a simple way to determine quantiles of non-
normal distributions. It is frequently used by practitioners and by academics in risk …

The frequency-domain method for estimating fatigue damage is important and efficient for
engineering applications. However, when dealing with non-Gaussian loadings, the widely …

Abstract For a GJR-GARCH (1, 1) specification with a generic innovation distribution we
derive analytic expressions for the first four conditional moments of the forward and …

It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are
based on an appropriately specified GARCH process. But when the forecast horizon is …

Johnson (1949) developed a flexible system of distributions, based on three families of
transformations, that translate an observed, non-normal variate to one conforming to the …