model averaging in policy design. Interestingly, a simple difference rule with the same coefficients on inflation and output …

Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …

Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard … for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the …