When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally … weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility …

. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were …

relatively low market volatility may have unintended consequences for banks' risk exposure. … risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel …

Standard risk management approaches fail to consider parameter uncertainty, which has led to improper risk management …