Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values …

risk by industry sector and geographic region. The proposed approach generalizes the portfolio model used in Pillar 1 for … the calculation of the capital requirement, removing the assumptions of the existence of one systematic risk factor and of … calculated using the supervisory formula can be interpreted as a measure of concentration risk. The Pykhtin model is consistent …