obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 …

Beyond their importance from the regulatory policy point of view, Value-at-Risk (VaR) and Expected Shortfall (ES) play … an important role in risk management, portfolio allocation, capital level requirements, trading systems, and hedging … strategies. Unfortunately, due to the curse of dimensionality, their accurate estimation and forecast in large portfolios is …

-C-MGARCH) model of Fülle and Herwartz (2021). As an empirical illustration we take the perspective of a risk averse agent and employ … risk forecasting for daily returns over 10 years for heterogeneous market environments including, for example, the COVID-19 … pandemic. We find that the MS-C-MGARCH model outperforms benchmark volatility models (MGARCH, C-MGARCH) in predicting expected …