that in high risk situations in which the time series show high volatility risk and high fat tail risk the current Basle II …. Therefore, we propose adjustments regarding the Basle II penalty factor that take different risk situations into account and … lead to higher capital buffers for forecast models with a systematic risk underestimation. -- Risk evaluation ; Value-at-risk …

exceedances that contribute to the likelihood estimation. It gives more information than the threshold excess method of the CMEV …