VaR forecasts. To this end, we evaluate the predictive performance of several GARCH-type models estimated via Bayesian and … indexes are predicted over about 13 years from the early 2000s. We find that Bayesian predictive densities improve the VaR … backtest at the 1% risk level for single models and for linear and log pools. We also find that the robust VaR backtest …

conditional VaR (CoVaR) for the financial institutions and verify the interdependence between the systemic risk and oil, both on a …

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …

financial risk. In our two year sample, the standard deviation, Value at Risk (VaR) and expected shortfall (ES) for Bitcoin were … the static ex-post risk performance measures such as Sharpe ratio, Sortino ratio, VaR ratio and the expected shortfall … standard deviation and VaR for Bitcoin could be higher in the first quarter of 2018 …

credit risk. The specification effect can lead to Value-at-Risk (VaR) reductions in the range of 3 percent to 47 percent …