embraced a different primary measure of market risk in global banking regulation: traditional value-at-risk (VaR), stressed VaR … model and estimation risk to VaR's failure to perform under extreme economic stress and VaR's failure to satisfy the … theoretical constraints on “coherent” measurements of risk. Part III describes how to calculate expected shortfall as an extension …

in a risk measurement context is less developed. This paper uses a scheme from probability theory and statistics … as counterparty credit risk measurement is promising … suitable for revaluing instruments as required to determine a portfolio's Value-at-Risk and Expected Shortfall. Time series of …

We evaluated the performance of multivariate models for forecasting Value at Risk (VaR), Expected Shortfall (ES) and … Expectile Value at Risk (EVaR). We used Historical Simulation (HS), Dynamic Conditional Correlation-Generalized Autoregressive … forecasting risk measure is associated with marginal distributions. For a data generating process where the marginal distribution …