A Corrected Value-at-Risk Predictor

In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

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Year of publication:	2008-03-26
Authors:	Lönnbark, Carl
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	Estimation Error \| Finance \| Garch \| Prediction \| Risk Management

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Extent:	application/pdf
Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 734 8 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005651967