Fifteen years after the introduction of the Basel II Accord, which thoroughly revised the capital framework for banks, internal models are a full part of the supervisory toolkit and the risk management framework of financial institutions. The debate around models has gone through different...

In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is assumed that all the model's parameters are known. In practice, however, the parameters must be estimated and this introduces an additional source of uncertainty that is usually...