In this paper, we investigate how climate risk impacts the sovereign risk, the stock market evolution, and the degree … as a percentage of GDP. Moreover, the climate risk leads to an increase in sovereign risk only across inferior quantiles … competitiveness of a country is influenced to a small extent by the level of climate risk. This could be a consequence of concerns …

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th … February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules …, due to be launched in March by the Basel Committee on Banking Supervision, will consider ditching value-at-risk as the …

In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference … to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of …-Bayesian and [increasingly] Bayesian – continues to be a key methodological foundation of risk management and regulation related …

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 …

volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more … volatilities. A utility-based framework designed to evaluate the economic gains from risk modeling highlights the interplay between … parsimony of model specification, transaction costs, and speed of trading in the practical implementation of the different risk …

Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under … prediction and the evaluation of downside risk. Emphasis is given to the two key financial downside risk measures: Value-at-Risk …

This paper demonstrates that existing quantile regression models used for forecasting Value-at-Risk (VaR) and expected … open-faced sandwich (OFS) method is proposed which improves uncertainty quantification in risk forecasts. Simulation and … empirical results highlight the improvements in risk forecasts ensuing from the proposed methods …

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