Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions—in particular, real-time risk …

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

change was observed both in the correlation and volatility levels for specific market segments, as well as in the market … wider assessment of the systemic risk in the financial markets. The key results point towards a decreased uncertainty in … positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …