Empirical Issues in Value-at-Risk

DOI10.2143/AST.31.2.1007MaRDI QIDQ4661642zbMATH OpenOpenAlexFDO

Authors Dennis Bams, Jacco L. Wielhouwer

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.31.2.1007

zbMATH Keywords

fat tailsparameter uncertaintytime-varying volatilityvalue-at-risk

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

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• Empirical likelihood-based evaluations of value at risk models
• A detailed comparison of value at risk estimates
• The use of GARCH models in VaR estimation
• Value at risk: Recent advances
• How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used
• Artifactual unit root behavior of value at risk (VaR)
• Practical problems of risk estimation in the analysis of daily time series
• Improving the value at risk forecasts: theory and evidence from the financial crisis
• scientific article; zbMATH DE number 5668415 (Why is no real title available?)
• Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model
• scientific article; zbMATH DE number 1538076 (Why is no real title available?)
• Obtaining distributional information from valuation lattices
• scientific article; zbMATH DE number 939792 (Why is no real title available?)
• scientific article; zbMATH DE number 1449652 (Why is no real title available?)
• Small perturbations with large effects on value-at-risk
• Return distribution and value at risk estimation for BELEX15
• The moment estimates order promotion of the financial asset returns ``fat tail distribution shape parameter based on second order expansion form
• Conditional tail behaviour and Value at Risk
• Value-at-risk in a market subject to regime switching
• Value-at-risk forecasts under scrutiny—the German experience
• A value-at-risk analysis of carry trades using skew-GARCH models
• The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions
• Real-time assessment of value-at-risk and volatility accuracy
• On the appropriateness of inappropriate VaR models

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