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Econometric Modeling of Value-at-Risk


Timotheos Angelidis


University of Peloponnese - Department of Economics

Stavros Antonios Degiannakis


University of Portsmouth

New Econometric Modeling Research, 2007

Abstract:     
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, G15

Accepted Paper Series


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Date posted: September 29, 2006  

Suggested Citation

Angelidis, Timotheos and Degiannakis, Stavros Antonios, Econometric Modeling of Value-at-Risk. New Econometric Modeling Research, 2007. Available at SSRN: http://ssrn.com/abstract=933123

Contact Information

Timotheos Angelidis (Contact Author)
University of Peloponnese - Department of Economics ( email )
Tripolis, 22100
Greece
Stavros Antonios Degiannakis
University of Portsmouth ( email )
Portsmouth, Portland Street, PO1 3DE, UK
Portsmouth PO1 3DE, Hampshire PO1 3DE
United Kingdom
Feedback to SSRN (Beta)


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