We investigate capital requirements based on Value at Risk (V@R) and Average Value at Risk (AV@R) when the bank's econometric model only approximately describes the true, unknown return generating process, as is often the case in practice. We provide a simple formula for such capital...

The key purpose of this paper is to present an alternative viewpoint for combining expert opinions based on finite mixture models. Moreover, we consider that the components of the mixture are not necessarily assumed to be from the same parametric family. This approach can enable the agent to...