Under the Basel II advanced IRB (Internal Ratings Based) approach, banks are encouraged to provide internal estimates for all of the risky parameters determining the minimum regulatory capital. While the PD and LGD estimation issue has recently attracted a lot of attention by the credit risk...

Volatility forecasting is one of the main issues in the financial econometrics literature. Volatility measures may be derived from statistical models for conditional variance, or from option prices. In recent times, indices have been suggested which summarize the implied volatility of widely...