In this article we present a theoretical review of the existing literature on Value at Risk (VaR)
specifically focussing on the development of new approaches for its estimation. We effect a …

Introduced in the 1980s, value at risk has been a popular measure of financial risk.
However, value at risk suffers from a number of drawbacks as measure of financial risk. An …

We modify Adrian and Brunnermeier's (2011) CoVaR, the VaR of the financial system
conditional on an institution being in financial distress. We change the definition of financial …

This paper extends the work of Kang et al.(2009). We use a greater number of linear and
nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) class models …

Given the growing need for managing financial risk, risk prediction plays an increasing role
in banking and finance. In this study we compare the out-of-sample performance of existing …

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models
forms part four of the Market Risk Analysis four volume set. Building on the three previous …

The use of Markov-switching models to capture the volatility dynamics of financial time
series has grown considerably during past years, in part because they give rise to a …

In this paper we model Value‐at‐Risk (VaR) for daily asset returns using a collection of
parametric univariate and multivariate models of the ARCH class based on the skewed …

We propose a practical and flexible method to introduce skewness in multivariate symmetric
distributions. Applying this procedure to the multivariate Student density leads to a …

Many large financial institutions compute the Value-at-Risk (VaR) of their trading portfolios
using historical simulation based methods, but the methods' properties are not well …