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)
New Economics Papers: this item is included in nep-ecm, nep-rmg and nep-upt
Date: 2008-03-26
View list of references

Downloads: (external link)
http://www.econ.umu.se/ues/ues734.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:hhs:umnees:0734

Access Statistics for this paper

More papers in Umeå Economic Studies from Umeå University, Department of Economics
Address: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Contact information at EDIRC.
Series data maintained by Kjell-Göran Holmberg ().