Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

T. Berger and M. Missong

International Review of Financial Analysis, 2014, vol. 33, issue C, 33-38

Abstract: Forecasting Value-at-Risk (VaR) for financial portfolios is a crucial task in applied financial risk management. In this paper, we compare VaR forecasts based on different models for return interdependencies: volatility spillover (Engle & Kroner, 1995), dynamic conditional correlations (Engle, 2002, 2009) and (elliptical) copulas (Embrechts et al., 2002). Moreover, competing models for marginal return distributions are applied. In particular, we apply extreme value theory (EVT) models to GARCH-filtered residuals to capture excess returns.

Keywords: Financial crisis; Portfolio Value-at-Risk; Dynamic conditional correlations; Elliptical copulas; Extreme value theory (search for similar items in EconPapers)
JEL-codes: C58 G01 G11 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:33:y:2014:i:c:p:33-38

DOI: 10.1016/j.irfa.2013.07.006

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