Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for … internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level …-desk value-at-risk (VaR) backtest as a special case. The spectral tests make use of realised probability integral transform …

Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this … correlation), and that the bivariate forecasts provided by a risk methodology based on historical innovations performs correctly …

This paper presents a new tool for validating Value-at-Risk (VaR) models. This tool, called the Risk Map, jointly … performance of a risk model. It relies on the concept of VaR super exception, which is de fined as a situation in which the … whether the sequence of exceptions and super exceptions passes standard model validation tests. We show that the Risk Map can …

Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords …, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk … (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …

This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the …. Furthermore, we derive asymptotic finite time ruin probabilities, as well as asymptotic approximations for some common risk … obtained in the free interest risk model …