We study alternative specifications of conditional quantile models that are used to estimate Value at Risk (VaR). Our proposed specifications include the incorporation of a slow moving component in the quantile process, along with recent aggregate returns as regressors. We consider a range of...

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...