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 …

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 from a variety of risk models, and discuss the …

The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics … system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been … identified with using VaR for determining regulatory capital requirements, including its inability to capture tail risk" (p. 3 …

Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed … shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on … regulatory capital requirements, including its inability to capture tail risk”. The proposed reform costs and impact on bank …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …

analysis of the economic value shows that risk-averse investors will be willing to pay a high performance fee to switch from a …