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
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws087326
Access Statistics for this paper
More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().