This paper proposes intraday High Frequency Risk (HFR) measures for market risk in the case of irregularly spaced high …-frequency data. In this context, we distinguish three concepts of value-at-risk (VaR): the total VaR, the marginal (or per …-time-unit) VaR, and the instantaneous VaR. Since the market risk is obviously related to the duration between two consecutive trades …

the estimation and backtesting of ES, it can be considered a good risk measure. In particular, there is no sufficient …Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR …). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found …

, reported by institutions is fundamental to determine their exposure to market risk. Backtesting techniques are important since … power against wrong specifications of the risk measure and early detection; we show these new backtesting techniques are …The implementation of appropriate statistical techniques for monitoring conditional VaR models, i.e, backtesting …

One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk … (VaR) as the standard tool for measuring market risk. Since then, the capital requirements of commercial banks with trading … accuracy of the VaR model (backtesting procedures) have become of crucial practical importance. In this paper we show that the …

— financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are …

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk … actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios. …

different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for …

The market risk capital charge of financial institutions has been mostly calculated by internal models based on … integrated Value at Risk (VaR) approach, since the introduction of the Amendment to Basel Accord in 1996. The internal models … should fulfil several quantitative and qualitative criteria. Besides others, it is the so called backtesting procedure, which …

Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … adequacy of Value at Risk measures. One main finding indicates that backtests of all classes show heavy size distortions. These …

We study the performance and behavior of Value at Risk (VaR) measures used by a number of large banks during and before …