White Paper

Bayesian Risk Forecasting for Long Horizons

March 28, 2019

What are the challenges of Bayesian risk forecasting, and how can it be used efficiently? Agnieszka Borowska, Lennart F. Hoogerheide and Siem Jan Koopman explain how to forecast VaR and expected shortfall, accurately, for a given volatility model with one-month and one-year horizons.