Backtesting Value-at-Risk and expected shortfall: an empirical comparison using non-parametric and parametric models

Mo Zheng, Han-Suck Song and Fredrik Armerin

ERES from European Real Estate Society (ERES)

Abstract: The Swedish real estate sector index services as a guideline and general indicator of the performance of the real estate industry, events such global financial crisis, the European debt crisis cause unprecedentedly high uncertainty and volatility. There is a need to understand and search for an appropriate method to deal with Value-at-risk and expected shortfall which comprehensively covers unconditional and conditional risk models with various estimation window and significance level. In this paper, we apply nonparametric, parametric and semiparametric methods such as historical simulation and filtered historical simulation; RiskMetrics; GARCH-type models and GARCH together with extreme value theory. The result is still in process, the draft paper will be submitted within the deadline.

Keywords: Expected Shortfall; Extreme Value Theory; Risk Management; Swedish Real Estate Sector; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2019-01-01
New Economics Papers: this item is included in nep-ore and nep-rmg
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