The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …

of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable …

-friendly look at the concept of VaR and its different estimation methods, and is aimed specifically at newcomers to the market or … present this concise yet in-depth coverage of VaR, set in the context of risk management as a whole. Topics covered include …: Defining value-at-risk Variance-covariance methodology Portfolio VaR Credit risk and credit VaR Stressed VaR Critique and VaR …