Local likelihood density estimation and value-at-risk

DOI10.1155/2010/754851MaRDI QIDQ609720zbMATH OpenOpenAlexWikidataFDO

Authors Christian Gouriéroux, J. Jasiak

Publication date 1 December 2010

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://eudml.org/doc/226799

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Review text

Summary: This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series of portfolio returns. For illustration, the method is applied to intraday VaR estimation on portfolios of two stocks traded on the Toronto Stock Exchange. The performance of the new VaR computation method is compared to the historical simulation, variance-covariance, and J. P. Morgan methods.

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Cites work

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Cited in

(11)

• Empirical likelihood-based evaluations of value at risk models
• Scenario generation for long run interest rate risk assessment
• Adjusted empirical likelihood for value at risk and expected shortfall
• Dynamic quantile models
• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Local polynomial estimation of SPDs with application to VaR models
• Local likelihood estimators in a regression model for stock returns
• Nonparametric estimation of value-at-risk of Chinese stock market
• Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
• Local Gaussian correlation: a new measure of dependence
• A new risk measure MMVaR: properties and empirical research

Describes a project that uses

Uses Software

• RiskMetrics
• CAViaR

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