-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … Value-at- Risk (V aR). In this paper, we evaluate the Value-at-Risk (V aR) and Expected Shortfall (ESF) in financial markets … proper risk valuation of options, the degree of persistence should be investigated and appropriate models that incorporate …

The accuracy of parametric, non-parametric and semi-parametric methods in predicting the one-day-ahead Value-at-Risk … and short trading positions. The risk management techniques are designed to capture the main characteristics of asset … accurate VaR forecasts. Especially for the high confidence levels, a risk manager must employ different volatility techniques …