Econometric Modeling of Value-at-Risk
University of Peloponnese - Department of Economics
Stavros Antonios Degiannakis
University of Portsmouth
New Econometric Modeling Research, 2007
Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimize the forecast error. This chapter provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.
Number of Pages in PDF File: 72
Keywords: Backtesting, Expected Shortfall, Value-at-Risk, Volatility Forecasting
JEL Classification: C22, C52, C53, G15Accepted Paper Series
Date posted: September 29, 2006
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