DANIELSSON, Jon; VRIES, Casper G. DE - In: Annales d'Economie et de Statistique (2000) 60, pp. 239-270
We propose a semi-parametric method for unconditional Value-at-Risk (VaR) evaluation. The largest risks are modelled parametrically, while smaller risks are captured by the non-parametric empirical distribution function. A comparison of methods on a portfolio of stock and option returns reveals...