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 …

Extreme losses caused by leverage and financial derivatives highlight the need to backtest
Value-at-Risk (VaR) based on the sizes of tail losses, because the risk measure currently …

The financial systems in most developed countries today build up a large amount of model
risk on a daily basis. However, this is not particularly visible as the financial risk …

In this dissertation, we investigate the theory of order statistics and extreme value theory to
construct confidence intervals for high quantile estimates. In an extensive series of …

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 …

Since it was first proposed in 1996 by the RiskMetrics Group of JP Morgan, valueat-risk
(VaR) has become the standard market risk metric. Assuming that the losses and profits …

Previous research on the accuracy of value-at-risk (VaR) estimators has mostly concentrated
on statistical features of the estimators themselves, entailing considerable mathematical …

Las métricas usuales de riesgo de mercado, tales como Valor en Riesgo (VaR) o Déficit
Esperado (ES), se calculan usando estimadores puntuales. Desde un punto de vista …