This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The …

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 … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …

extensive history of large corporate firms sourced from Moody’s. We develop distance-to-default (DTD) risk factors and design …. We measure the model risk attributed to various modelingassumptions according to the principle of relative entropy and … observe that the omitted-variable bias with respect to the DTD risk factor, neglect of interaction effects and incorrect link …