We evaluated the performance of multivariate models for forecasting Value at Risk (VaR), Expected Shortfall (ES) and Expectile Value at Risk (EVaR). We used Historical Simulation (HS), Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedastic (DCC-GARCH) and copula...

In financial decisions, model risk has been recognized as an important source of uncertainty. The revision of the Basel II suggests that financial institutions quantify and manage their model risk. Focusing on risk forecasting literature, we identify two main approaches to quantify model risk:...