Measuring financial risk : comparison of alternative procedures to estimate VaR and ES

We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean and variance and the conditional distribution of returns. The results are illustrated by estimating the VaR and ES of daily S&P500 returns.

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Year of publication:	2008-12
Authors:	Nieto, Maria Rosa ; Ruiz, Esther
Institutions:	Departamento de Estadistica, Universidad Carlos III de Madrid
Subject:	Backtesting \| Extreme value \| GARCH models \| Leverage effect

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Extent:	application/pdf
Series:	Statistics and Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005190187