internationally active banks and other financial institutions. The OR is the unexpected loss, which is the difference between the 99 …:9 per cent quantile and the mean of the loss distribution. This paper adapts non-parametric methods based on heavy … nonparametric methods is that there are no assumptions made about the shape of loss distributions and that data determines their …

-parametric approach to model risk quantification in a dynamic setting and with path-dependent losses. We propose a complete theory …