A fast, accurate method for value at risk and expected shortfall

Jochen Krause; Marc S. Paolella

A fast method is developed for value at risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry, and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves use of several shortcuts for speed, it performs admirably in terms of accuracy, and actually outperforms highly competitive models

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Year of publication:	2014
Authors:	Krause, Jochen ; Paolella, Marc S.
Publisher:	Genève : Swiss Finance Inst.
Subject:	GARCH \| Mixture-Normal-GARCH \| Noncentral t \| Table Lookup \| Theorie \| Theory \| Risikomaß \| Risk measure \| ARCH-Modell \| ARCH model

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Extent:	Online-Ressource (34 S.) graph. Darst.
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 14,40 Swiss Finance Institute Research Paper ; No. 14-40
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	10.2139/ssrn.2448615 [DOI]
Classification:	C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010412665