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Measuring financial risk: comparison of alternative procedures to estimate VaR and ES

Esther Ruiz and María Rosa Nieto

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean and variance and the conditional distribution of returns. The results are illustrated by estimating the VaR and ES of daily S&P500 returns.

Keywords: Backtesting; Extreme; value; GARCH; models; Leverage; effect (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk and nep-rmg
Date: 2008-12
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws087326

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