The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …

of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable …

sustain the rise of financial markets. Thereafter, this review identified the value at risk (VaR) and VaR-based alternative … for VaR-ES measures have led to several advanced estimation methodologies. However, the lack of identification of optimal … methodology, in the internal models approach (IMA) regime where financial institutions (FI's) can choose suitable VaR-ES modelling …