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 …

Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled …

This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences …