scientific article; zbMATH DE number 1449652

MaRDI QIDQ4955690zbMATH OpenFDO

Authors Rakhal D. Davé, Gerhard Stahl

Publication date 21 May 2000

zbMATH Keywords

covarianceforecastingGARCHperformance measuresportfolioriskstochastic modellingVaR

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The use of GARCH models in VaR estimation
• Empirical Issues in Value-at-Risk
• Stable modeling of value at risk
• A detailed comparison of value at risk estimates
• Estimation of value at risk: extreme value and robust approaches

Cited in

(8)

• Mark to market value at risk
• The improved value-at-risk for heteroscedastic processes and their coverage probability
• VaR modelling on long run horizons
• Comparing VaR Approximation Methods that Use the First Four Moments as Inputs
• VaR/CVaR estimation under stochastic volatility models
• Computation of VaR for portfolios in intensity models
• On the appropriateness of inappropriate VaR models
• Statistical estimation errors of VaR under ARCH returns

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