Economics at your fingertips  

How Risky Is the Value at Risk?

Roxana Chiriac () and Winfried Pohlmeier ()
Additional contact information
Roxana Chiriac: University of Konstanz, CoFE

Authors registered in the RePEc Author Service: Roxana Halbleib (Chiriac) ()

Working Paper series from Rimini Centre for Economic Analysis

Abstract: The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR before and during the recent financial crisis with respect to the choice of sampling window, return distributional assumptions and stochastic properties of the underlying financial assets. Moreover we develop a new data driven approach that is based on the principle of optimal combination and that provides robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis.

Keywords: Value at Risk; model risk; optimal forecast combination (search for similar items in EconPapers)
JEL-codes: C21 C5 G01 G17 G28 G32 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-ban, nep-ecm, nep-for, nep-ore, nep-rmg and nep-upt
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Working Paper series from Rimini Centre for Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Marco Savioli ().

Page updated 2023-12-20
Handle: RePEc:rim:rimwps:07_10