A Corrected Value-at-Risk Predictor

Carl Lönnbark

No 734, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

Keywords: Estimation Error; Finance; Garch; Prediction; Risk Management (search for similar items in EconPapers)
JEL-codes: C32 C51 C53 G10 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2008-03-26
New Economics Papers: this item is included in nep-ecm, nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0734

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