to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the … practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the …

selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models … for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is …