The interest in forecasting the Value at Risk (VaR) has been growing over the last two
decades, due to the practical relevance of this risk measure for financial and insurance …

There have been many backtesting methods proposed for value at risk. Yet they have rarely
been applied in practice. Here, we provide a comprehensive review of all of the recent …

The Basel Committee on Banking Supervision (BIS) has recently sanctioned expected
shortfall (ES) as the market risk measure to be used for banking regulatory purposes …

This paper investigates the time‐varying volatility patterns of some major commodities as
well as the potential factors that drive their long‐term volatility component. For this purpose …

The experience from the global financial crisis has raised serious concerns about the
accuracy of standard risk measures as tools for the quantification of extreme downward …

This paper presents a new method to validate risk models: the Risk Map. This method jointly
accounts for the number and the magnitude of extreme losses and graphically summarizes …

This paper proposes an original approach for backtesting systemic risk measures. This
backtesting approach makes it possible to assess the systemic risk measure forecasts used …

Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the
most popular Value-at-Risk forecast methods at commercial banks. These forecast methods …

In this paper we propose a new tool for backtesting that examines the quality of Value-at-
Risk (VaR) forecasts. To date, the most distinguished regression-based backtest, proposed …

Abstract Since 2016, the Basel Committee on Banking Supervision has regulated banks to
switch from a Value-at-Risk (VaR) to an Expected Shortfall (ES) approach to measuring the …