This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …-stable distribution ; tempered stable distribution ; value-at-risk (VaR) ; average value-at-risk (AVaR) …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

We forecast monthly Value at Risk (VaR) and Conditional Value at Risk (CVaR) using option market data and four …-looking risk measures that do not depend from the amount of historical data used and that, through the implied moments of options …