Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation
Author | : Laura García Jorcano |
Publisher | : |
Total Pages | : |
Release | : 2017 |
ISBN-10 | : OCLC:1026279981 |
ISBN-13 | : |
Rating | : 4/5 (81 Downloads) |
Download or read book Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation written by Laura García Jorcano and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The estimation of risk measures is an area of highest importance in the financial industry. Risk measures play a major role in the risk-management and in the computation of regulatory capital. The Basel III document [13] has suggested to shift from Value-at-Risk (VaR) into Expected Shortfall (ES) as a risk measure and to consider stressed scenarios at a new con dence level of 97:5%. This change is motivated by the appealing theoretical properties of ES as a measure of risk and the poor properties of VaR. In particular, VaR fails to control for tail risk". In this transition, the major challenge faced by nancial institutions is the unavailability of simple tools for evaluation of ES forecasts (i.e. backtesting ES) The objective of this thesis is to compare the performance of a variety of models for VaR and ES estimation for a collection of assets of di erent nature: stock indexes, individual stocks, bonds, exchange rates, and commodities. Throughout the thesis, by a VaR or an ES model" is meant a given speci cation for conditional volatility, combined with an assumption on the probability distribution of return innovations...