analyze the marginal contribution of pillar 3 exposure data to the quality of equity volatility forecasts for individual banks …. Our method uses (local in time) measures of risk factor risk using a multivariate stochastic volatility model for five … measures. One takes into account pillar 3 information, and the other one does not. Generally, we generate volatility forecasts …

capitalize possible turbulences on financial markets and likewise the well-known phenomenon of excess volatility - even if the …