In this study we consider the risk estimation as a stochastic process based on the Sample Quantile Process (SQP …) - which is a generalization of the Value-at-Risk calculated on a rolling sample. Using SQP's, we are able to show and quantify … the pro-cyclicality of the current way financial institutions measure their risk. Analysing 11 stock indices, we show that …

useful tool that can be applied for the needs of corporate risk management in the area of the assessment of a firm …’s bankruptcy risk. Using two variants of the division of the research sample into the training and testing sets, it turned out that … variables is necessary for possibly building the most efficient tool for the early warning signs of bankruptcy risk. …

This paper devises and tests a state-dependent approach to forecasting the downside risk of financial assets. The … approach has three merits. First, it proposes downside risk prediction conditional on the state of the real economy to … recognize the countercyclical nature of financial risk. Second, while integrating macroeconomic information into the modeling of …