evaluate the distributed volatility is offered. Distributed volatility, however, as VaR, helps to evaluate the positive and … negative part of volatility, but unlike VaR, describes volatility dynamics. So it allows forecast calculation of the financial …

This paper examines whether VaR models that are created and suited for developed and liquid markets apply to the … volatile and shallow financial markets of EU candidate states. To this end, several VaR models are tested on five official … stock indexes from EU candidate states over a period of 500 trading days. The tested VaR models are: a historical simulation …

This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and … mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient frontier …

(specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a … substantial minimum correction of the order of 10-40% of VaR levels. We also present results of a practical method Ñ based on a … backtesting framework Ñ for incorporating the model risk into the VaR estimates. …

leverage emerges in equilibrium at the maximum level such that VaR = 0, so there is no default in equilibrium, provided that … have sufficiently heterogenous beliefs over three or more states, VaR = 0 fails to hold in equilibrium. We study commonly … different risk aversion. We find two main departures from VaR = 0. First, both examples show that with enough heterogeneity …

The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and …