for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic … taking at the expense of providing accurate measures and forecasts of risk and VaR. …

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … used to forecast VaR thresholds under a variety of distributional assumptions. The results suggest that, within the current …

more risk models, whether individually or as combinations, to measure Value-at-Risk (VaR). The risk estimates of these … previous violations, whereby realised losses exceed the estimated VaR. McAleer et al. (2009) proposed a new approach to model … selection for predicting VaR, consisting of combining alternative risk models, and comparing conservative and aggressive …

-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms …