When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally … weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility …

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel … relatively low market volatility may have unintended consequences for banks' risk exposure. …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

-modellable risk factors (NMRF) as foreseen under the Basel Fundamental Review of the Trading Book (FRTB) rules for market risk. In … this paper, we present the foundations of such a methodology. By design, it is universally applicable to all kinds of risk … universe of real historical returns from all asset classes. Finally, we extend the methodology from single risk factors to …

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 …