In the post-crisis era, financial institutions seem to be more aware of the risks posed by
extreme events. Even though there are attempts to adapt methodologies drawing from the vast …

Accounting for the likelihood of observing extreme returns and for return asymmetry is
paramount in financial modeling. In addition to recognizing essential features of the returns’ …

Volume 1 of the Encyclopedia of Financial Models The need for serious coverage of financial
modeling has never been greater, especially with the size, diversity, and efficiency of …

(VaR) is computed by taking the twostandard-deviation value for the residuals from an asset
pricing model expressed in dollars as a percentage of the historical average price of the …

Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for
measuring the downside risk of investment portfolios, especially during financial crises. In this …

The aim of attribution analysis is to explain the impact of active management decisions on
the risk and return of a portfolio. For such an analysis to be meaningful, the attribution model …

The financial market is a complex system with chaotic behavior that can lead to wild swings
within the financial system. This can drive the system into a variety of interesting …

Understanding of fat tail and its importance was very less known when it comes to the economic
field. This paper makes notes from other papers and describes what all are done in the …

Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used
by financial risk managers across the globe. However, they are time consuming and …

This thesis is focused on distortion risk measures and distortion reward-risk ratios. Firstly,
we summarize the properties of these measures related to coherency axioms and stochastic …