White Paper

Forecasting Tail Risk Measures for Financial Time Series

September 2, 2021

Can a financial institution improve its VaR and expected shortfall projections via a risk model that incorporates economic and financial covariates? The University of Sydney’s Robert James, Henry Leung, Jessica Wai Yin Leung and Artem Prokhorov discuss this approach and explain how it can help produce competitive risk forecasts – particularly during periods of financial distress.