financial returns and portfolio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … information improves Value-at-Risk and Expected Shortfall forecasts as compared to popular tail risk forecasting methods. Under an … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and …

distributions ; expected shortfall ; GARCH ; model selection ; non-Gaussian innovations ; risk forecasting ; value-at-risk … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting …