Forecasting financial risk and risk measurement methods have been of increasing interest for financial market … thesis examines the forecasting models for Value-at-Risk (VaR) and conditional Value-at-Risk for financial return series. The … level forecasting.4. Derive an easily applicable backtesting method for conditional VaR or expected shortfall.5. Improve the …

The aim of this thesis is to improve risk measurement estimation by incorporating extra information in the form of … credit risk management. Firstly, we study Value-at-Risk (VaR) and Expected Shortfall (ES) estimation. VaR and ES estimation … empirical study demonstrating VaR and ES calculation. A credit event in financial markets is defined as the event that a party …

-at-Risk (VaR) and the standard-deviation-type of measures. Based on a coherent risk measure, for instance ES, we can discuss a … business level is important for the purpose of risk management and portfolio performance measurement. Even if there is a doubt … about the reason for allocating ES, instead of VaR, the statistical properties of the statistic, marginal ES, from the …

conditional coverage of the 5% and 1% value-at-risk (VaR) measures of four pre-defined portfolios. …

by equity beta var of 0,107).Beside, the empirical research findings show us that asset beta min value increases from 0 …

by equity beta var of 0,107).Beside, the empirical research findings show us that asset beta min value increases from 0 …

markets for the two classes of shares. Value-at-Risk (VaR) threshold forecasts are used to analyse the importance of … information flow on the risk evaluation of a diversified portfolio. The competing VaR forecasts are analysed using the …

estimated Value-at-Risk (VaR) and Expected Shortfall (ES) risk measures of portfolios consisting of stocks and CDS vis … distributions for daily, quarterly and yearly time horizons. VaR and ES with 90%, 95% and 99% confidence level are estimated from … paper is that CDS added into the portfolio of stocks significantly reduces VaR and ES of a portfolio during the period of …