We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state …-space methods, we model latent macro-financial and credit risk components for a large data setcomprising the U.S., the EU-27 area … risk conditions can significantly and persistently de-couplefrom macro-financial fundamentals. Such decoupling can serve as …

application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive … introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …

application is accurate prediction of financial risk measures, where the area of interest is the left tail of the predictive … introduced to further decrease the numerical standard errors of the Value-at-Risk and Expected Shortfall estimators. The third …