(immediately) and can therefore quickly adapt to VaR. In less volatile market phases, this leads to a reduction in VaR and thus to … quickly forgotten and the VaR can be underestimated when using exponential weighting and the VaR may be underestimated. To …

Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled … oflow probability worst outcomes, RiskMetrics analysis underpredicts the VaR while historical simulationoverpredicts the VaR …. However, the estimates obtained from applying the semi-parametric method aremore accurate in the VaR prediction. In addition …

In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators … that the traditional historical simulation approach, which is currently the most frequently used VaR estimator in …