Download This PaperA Fast, Accurate Method for Value at Risk and Expected Shortfall
37 Pages Posted: 12 Jun 2014
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: 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
Swiss Finance Institute
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland
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