Performance of monthly multivariate filtered historical simulation value-at-risk

Stéphane Chrétien, Frank Coggins and Yves Trudel

Journal of Risk Management in Financial Institutions, 2010, vol. 3, issue 3, 259-277

Abstract: This study examines the performance of 16 value-at-risk (VaR) models in the context of institutional portfolio management. The paper focuses on multivariate versus univariate approaches of asset modelling, estimated with monthly or daily data, and filtered historical simulation (FHS) versus Monte Carlo simulation (MCS) techniques. Tests on VaR violations show that the best-performing models are generally the univariate FHS and MCS models with daily asymmetric GARCH specification. A comparative analysis reveals that the asymmetric impact of positive versus negative shocks in the conditional volatility is the most important feature of the models.

Keywords: conditional VaR models; VaR models by filtered historical simulations; GARCH models; G11; G23 (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2010:v:3:i:3:p:259-277

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