A Fast, Accurate Method for Value at Risk and Expected Shortfall

37 Pages Posted: 12 Jun 2014

See all articles by Jochen Krause

Jochen Krause

Department of Banking and Finance, University of Zurich

Marc S. Paolella

University of Zurich - Department of Banking and Finance; Swiss Finance Institute

Date Written: June 11, 2014

Abstract

A fast method is developed for value at risk and expected shortfall prediction for univariate asset return time series exhibiting leptokurtosis, asymmetry, and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral t innovations. While the method involves use of several shortcuts for speed, it performs admirably in terms of accuracy, and actually outperforms highly competitive models.

Keywords: GARCH; Mixture-Normal-GARCH; Noncentral t; Table Lookup

JEL Classification: C51; C53; G11; G17

Suggested Citation

Krause, Jochen and Paolella, Marc S., A Fast, Accurate Method for Value at Risk and Expected Shortfall (June 11, 2014). Swiss Finance Institute Research Paper No. 14-40, Available at SSRN: https://ssrn.com/abstract=2448615 or http://dx.doi.org/10.2139/ssrn.2448615

Jochen Krause

Department of Banking and Finance, University of Zurich ( email )

Schönberggasse 1
Zürich, 8001
Switzerland
+41446342814 (Phone)

HOME PAGE: http://www.bf.uzh.ch

Marc S. Paolella (Contact Author)

University of Zurich - Department of Banking and Finance

Plattenstr. 14
Zürich, 8032
Switzerland

Swiss Finance Institute

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
234
Abstract Views
2,148
rank
150,296
PlumX Metrics