Robust Value at Risk Prediction: Appendix

30 Pages Posted: 12 Sep 2010

See all articles by Loriano Mancini

Loriano Mancini

USI Lugano - Institute of Finance; Swiss Finance Institute

Fabio Trojani

Swiss Finance Institute; University of Geneva

Date Written: September, 10 2010

Abstract

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice of the robustness tuning constants; describes the unconditional, independence and conditional coverage tests for VaR forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends the empirical analysis on backtesting. Notation is the same as in Mancini and Trojani (2010).

Keywords: M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

JEL Classification: C14, C15, C23, C59

Suggested Citation

Mancini, Loriano and Trojani, Fabio, Robust Value at Risk Prediction: Appendix (September, 10 2010). Available at SSRN: https://ssrn.com/abstract=1674761 or http://dx.doi.org/10.2139/ssrn.1674761

Loriano Mancini (Contact Author)

USI Lugano - Institute of Finance ( email )

Via Giuseppe Buffi 6
6904 Lugano, CH-6904
Switzerland
+41 (0)91 912 46 47 (Fax)

HOME PAGE: http://www.people.usi.ch/mancil/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Fabio Trojani

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

University of Geneva ( email )

Geneva, Geneva
Switzerland

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