relatively low market volatility may have unintended consequences for banks' risk exposure. …

proposed methods based on the Box-Cox transformation, L-moment estimation and the Johnson system of distributions. We find that …

(systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs …

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …

Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … in both low and high volatility samples. …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the …-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also …