This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

theory based models provide a reasonable degree of safety while widespread VaR models do not provide adequate risk coverage …The purpose of this paper is to investigate the performance of VaR models at measuring risk for WTI oil one …-month futures returns. Risk models, ranging from industry standards such as RiskMetrics and historical simulation to conditional …

. Specifically, we first demonstrate how market distress impacts return distributions. We then propose a global systemic risk … indicator that jointly connects market conditions across asset classes using a multivariate failure model. The systemic risk … information that measure changes in key variables across time and across markets, our risk hazard model yields valuable insight …