daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR …) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large … capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations …

risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models … to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of … selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …. Such a risk management strategy is robust to the GFC in the sense that, while maintaining the same risk management strategy …