References (33)


Citations (47)



Evaluation of Value-at-Risk Models Using Historical Data

Darryll Hendricks


April 1996

Economic Policy Review, Vol. 2, No. 1, April 1996

Recent studies have underscored the need for market participants to develop reliable methods of measuring risk. One increasingly popular technique is the use of "value-at-risk" models, which convey estimates of market risk for an entire portfolio in one number. The author explores how well these models actually perform by applying twelve value-at-risk approaches to 1,000 randomly chosen foreign exchange portfolios. Using nine criteria to evaluate model performance, he finds that the approaches generally capture the risk that they set out to assess and tend to produce risk estimates that are similar in average size. No approach, however, appears to be superior by every measure.

Number of Pages in PDF File: 32

Keywords: value-at-risk, portfolio

JEL Classification: G11, G15, G28

Open PDF in Browser Download This Paper

Date posted: November 11, 2007  

Suggested Citation

Hendricks, Darryll, Evaluation of Value-at-Risk Models Using Historical Data (April 1996). Economic Policy Review, Vol. 2, No. 1, April 1996. Available at SSRN: http://ssrn.com/abstract=1028807 or http://dx.doi.org/10.2139/ssrn.1028807

Contact Information

Darryll Hendricks (Contact Author)
Independent ( email )
No Address Available
Feedback to SSRN

Paper statistics
Abstract Views: 8,832
Downloads: 2,716
Download Rank: 2,885
References:  33
Citations:  47

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.250 seconds