Alternative Approaches for Estimating Value at Risk

Mert Ural

Journal of BRSA Banking and Financial Markets, 2009, vol. 3, issue 2, 63-86

Abstract: In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting procedures examining the performance of the alternative VaR models appointed that the estimations under Cornish-Fisher expansion are more consistent for the financial asset returns frequently possessing fat tails and asymmetric distribution

Keywords: Value-at-Risk; APGARCH; Expected Shortfall; Cornish-Fisher Expansion; Backtesting (search for similar items in EconPapers)
JEL-codes: C22 C52 G15 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:3:y:2009:i:2:p:63-86

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