The probabilities considered in value-at-risk (VaR) are typically of moderate deviations. However, the variance … reduction techniques developed in the literature for VaR computation are based on large deviations methods. Modeling heavy …-tailed risk factors using multivariate $t$ distributions, we develop a new moderate-deviations method for VaR computation. We show …

commodity markets. In particular, we present the concept of VaR, its limits, the problems related to its estimation and …