the financial risk management literature. Importantly, the proposed framework is intended to be applied to non … is relevant in applications concerning with extreme events. We show that the associated tail risk network can be used for … measuring systemic risk contributions. We also apply the framework to study international financial contagion and the impact of …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …