In the literature, there is no consensus as to which Value-at-Risk forecasting model is the best for measuring market risk in banks. In the study an analysis of Value-at-Risk forecasting model quality over varying economic stability periods for main indices from stock exchanges was conducted....

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...