Bayesian semi-parametric estimation has proven effective for quantile estimation in general and specifically in financial Value at Risk forecasting. Expected short-fall is a competing tail risk measure, involving a conditional expectation beyond a quantile, that has recently been...

Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold nonlinear and Markov switching GARCH specifications, plus standard and nonlinear stochastic volatility models, most considering four...