The purpose of this study is to determine whether a superior estimation for security volatility can be derived by finding a balance between historical data, the implied volatility and an empirical implied distribution placed on the options chains of four exchange traded funds. Data is collected...

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For the respective data frequencies, the authors show in a simulation and back-test study that available data series are not sufficient in order to estimate Value at Risk and...