In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of … Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …

volatility models …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …