We investigate the predictive performance of various classes of value-at-risk (VaR) models in several dimensions — unfiltered versus filtered VaR models, parametric versus nonparametric distributions, conventional versus extreme value distributions, and quantile regression versus inverting the...

In this paper we discuss how to compare various (possibly misspecified) density forecast models using the Kullback-Leibler information criterion (KLIC) of a candidate density forecast model with respect to the true density. The KLIC differential between a pair of competing models is the...

Jon Danielsson discusses the use of capital ratios and macroprudential regulation and describes the limitations of each policy: How banks can inflate capital ratios, how capital requirements fail to reduce the risk of aggregate shocks and how Basel III regulations burden smaller banks relative...