Model Choices

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 9 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 41-48 from Springer

Abstract: Abstract Without much ado, Chap. 4 outlined a relatively straightforward historical VaR model. In the bank I worked at, such a model proved to work reliably right through the 2008 financial crisis and its aftermath. Many a model aspect, however, could be tuned or tweaked or altered, and this chapter zooms in on some of those model choices. But how to weigh these features, how to choose between model options? Let me give you my personal take on this.

Date: 2018
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DOI: 10.1007/978-3-319-72320-4_9

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