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 …

In this paper, we develop a framework for measuring, allocating and managing systemic risk. SystRisk, our measure of … total systemic risk, captures the a priori cost to society for providing tail-risk insurance to the financial system. Our … allocation principle distributes the total systemic risk among individual institutions according to their size-shifted marginal …