Epanechnikov Kernel Estimation of Value at Risk

Ravi Agarwal

O.P. Jindal Global University (JGU)

Vignesh Ramakrishnan

Birla Institute of Management Technology

January 14, 2010

Anything that deviates from the normal is termed as risk. This definition looks simple but in real sense breaking it down into components is the most difficult thing. Analysis of what is “normal” and what is “abnormal” and also the measure for deviation is what researchers are exploring for years. Over decades different measures for risk have been put up and this area of study is always evolving. One way of quantifying this measure of risk is the VaR (Value at Risk) methodology suing historical simulation method which is what this paper tries to stress on. Risk analysis is generally undertaken on be making assumptions of the distribution of the base element of it. But this paper analyses the non-parametric method of VaR estimation using the kernel approach of historical simulation specifically using the Epanechnikov Kernel.

Number of Pages in PDF File: 20

Keywords: Value at Risk, Kernel estimation, Risk Management

JEL Classification: G11, G21, R15

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Date posted: January 18, 2010 ; Last revised: February 19, 2010

Suggested Citation

Agarwal, Ravi and Ramakrishnan, Vignesh, Epanechnikov Kernel Estimation of Value at Risk (January 14, 2010). Available at SSRN: https://ssrn.com/abstract=1537087 or http://dx.doi.org/10.2139/ssrn.1537087

Contact Information

Ravi Kumar Agarwal (Contact Author)
O.P. Jindal Global University (JGU) ( email )
Sonipat Narela Road
Near Jagdishpur Village
Sonipat, Haryana 131 001
HOME PAGE: http://www.jgbs.edu.in/content/ravi-agarwal

Vignesh Ramakrishnan
Birla Institute of Management Technology ( email )
Plot No 5 Knowledge park II
Greater Noida
Noida, CA 201306
Feedback to SSRN

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