we introduce a general multivariate framework for the time series analysis of risk that is modelled as a latent process … present a general model for the analysis of risk and discuss its statistical treatment based on linear state space methods … the general methodology can be effectively used in the assessment of risk. …

exercise. In this paper we introduce a general multivariate framework for the time series analysis of risk that is modelled as … problems. Seco! nd, we present a general model for the analysis of risk and discuss its statistical treatment based on linear … safety. It is shown that the general methodology can be effectively used in the assessment of risk. …