VaR models are useful only if they predict future risks accurately. Results show that risk managers can use SMA (100) and …Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple …

We propose and backtest a multivariate Value-at-Risk model for financial returns based on Tukey's g-and-h distribution …-and-h distributed residuals to three European stock indices and provide results of out-of-sample Value-at-Risk backtests. We find that …

, which is called G-bounds. Constructed G-bounds evaluate risk in the financial markets more carefully than models based on …, the closer the risk of losses on the stock market to the corresponding risk of loss for a normal distribution, the higher …

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 …