This study proposes a new approach for estimating value at risk (VaR). This approach combines quasi …

obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 …

This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The …

. The method is applied to Value-at-Risk forecasting with (skewed) Student's t distributions and a time-varying degrees of …

for tail risk through evaluation of Value-at-Risk (VaR) and expected shortfall (ES) accuracy. Our results show that crude … their corresponding two-moment ones. We adopt CF3 to disentangle skewness effects from kurtosis in tail risk …

The paper develops a tail risk forecasting model that incorporates the wealth of economic and financial information … available to risk managers. The approach can be viewed as a regularized extension of the two-stage GARCH-EVT model of McNeil and … extreme value distribution of risk. We use a rich data set from the US equity market to explore when this additional …

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment … when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance …

This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock … is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …