This paper investigates the robustness of 31 community speci?c explanatory variables for house prices in the Swiss metropolitan area of Zurich using Bayesian Model Averaging. The main variables which capitalize with a high posterior prob- ability are location speci?c real estate characteristics,...

This paper investigates the robustness of 31 community speci?c explanatory variables for house prices in the Swiss metropolitan area of Zurich using Bayesian Model Averaging. The main variables which capitalize with a high posterior prob- ability are location speci?c real estate characteristics,...

Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...