A Fast, Accurate Method for Value at Risk and Expected Shortfall

Jochen Krause and Marc S. Paolella
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Jochen Krause: University of Zurich
Marc S. Paolella: University of Zurich and Swiss Finance Institute

No 14-40, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: A fast method is developed for value at risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry, and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves use of several shortcuts for speed, it performs admirably in terms of accuracy, and actually outperforms highly competitive models.

Keywords: GARCH; Mixture-Normal-GARCH; Noncentral t; Table Lookup (search for similar items in EconPapers)
JEL-codes: C51 C53 G11 G17 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2014-06
New Economics Papers: this item is included in nep-ban and nep-rmg
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1440

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