A detailed comparison of value at risk estimates

DOI10.1016/J.MATCOM.2012.05.011zbMATH Open1499.91180OpenAlexW1996547311MaRDI QIDQ2227451FDOQ2227451

Pilar Abad, Sonia Benito

Publication date: 15 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2012.05.011

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zbMATH Keywords

GARCH modelvalue at riskrisk managementparametric modelextreme value theory model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• A generalization of the beta distribution with applications
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Financial data and the skewed generalized \(t\) distribution
• Stationarity and the existence of moments of a family of GARCH processes.
• An econometric analysis of asymmetric volatility: theory and application to patents
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• Autoregressive Conditional Density Estimation
• On some models for value-at-risk
• Incorporating higher moments into value-at-risk forecasting
• A decision rule to minimize daily capital charges in forecasting value-at-risk

Cited In (20)

• Tabulations for value at risk and expected shortfall
• Conditional tail behaviour and Value at Risk
• Value at risk calculation through ARCH factor methodology: Proposal and comparative analysis.
• Title not available (Why is that?)
• Title not available (Why is that?)
• An Extensive Comparison of Some Well‐Established Value at Risk Methods
• A quantitative comparison of risk measures
• Value-at-Risk Prediction: A Comparison of Alternative Strategies
• Conditional VaR estimation using Pearson's type IV distribution
• A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
• Estimating value-at-risk for Chinese stock market by switching regime ARCH model
• A comparison of several time-series models for assessing the value at risk of shares
• The use of GARCH models in VaR estimation
• Value at risk: Recent advances
• Combine GARCH model and neural networks to forecast Value at Risk (VAR) in the futures market
• Quantile-based estimative VaR forecast and dependence measure: a simulation approach
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Semi-parameter approach based on EGARCH-VaR model and empirical research
• A conditional-SGT-VaR approach with alternative GARCH models
• Truncated skewed type III generalized logistic distribution: risk measurement applications

Uses Software

• CAViaR
• RiskMetrics

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