Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw …

. Sensitivity analysis and measures of Value-at-Risk (VaR) and Expected Shortfall (ES) show the amount of losses investors can …

(immediately) and can therefore quickly adapt to VaR. In less volatile market phases, this leads to a reduction in VaR and thus to … quickly forgotten and the VaR can be underestimated when using exponential weighting and the VaR may be underestimated. To …

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …