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Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights
Pei, Pei - 2011
framework inapplicable. And it proposes a general theory to quantify estimation risk applicable to the present problem and …This paper theoretically and empirically analyzes backtesting portfolio VaR with estimation risk in an intrinsically … multivariate framework. For the fi rst time in the literature, it takes into account the estimation of portfolio weights in …
Persistent link: https://www.econbiz.de/10013132320
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Pitfalls in Backtesting Historical Simulation VAR Models
Escanciano, Juan Carlos - 2012
Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value-at-Risk forecast methods at commercial banks. These forecast methods are traditionally evaluated by means of the unconditional backtest. This paper formally shows that the...
Persistent link: https://www.econbiz.de/10013108779
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Robust Distortion Risk Measures
Bernard, Carole - 2020
Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure its robustness to distributional uncertainty by...
Persistent link: https://www.econbiz.de/10012825260
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A New Approach to Backtesting and Risk Model Selection
Corbetta, Jacopo - 2018
propose two simple hypothesis tests based only on results of probability theory without requiring any approximation or …
Persistent link: https://www.econbiz.de/10012936007
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Incorporating Higher Moments into Value at Risk Estimation
Polanski, Arnold; Stoja, Evarist - 2020
higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We …
Persistent link: https://www.econbiz.de/10014213990
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Systemic Risk Measurement : Multivariate GARCH Estimation of CoVaR
Girardi, Giulio - 2012
We modify Adrian and Brunnermeier's (2011) CoVaR, the Value-at-Risk (VaR) of the financial system conditional on an institution being in financial distress. We change the definition of financial distress from an institution being exactly at its VaR to being at most at its VaR. This change allows...
Persistent link: https://www.econbiz.de/10013115106
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Improving Value-at-Risk estimation from the normal EGARCH model
Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106
Returns in financial assets display consistent excess kurtosis and skewness, implying the presence of large fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias-correction step to improve Value-at-Risk (VaR) forecasting ability...
Persistent link: https://www.econbiz.de/10011632622
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GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Lipovina-Božović, Milena; … - In: Economic research 30 (2017) 1,1, pp. 477-498
Persistent link: https://www.econbiz.de/10012223947
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the … ; extreme value theory ; bootstrapping …
Persistent link: https://www.econbiz.de/10003891679
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Model Selection for Estimating Portfolio VAR in Korean Stock Market
Lee, Sang Jin - 2010
Persistent link: https://www.econbiz.de/10013149680