How Risky is the Value at Risk?

Chiriac, Roxana; Pohlmeier, Winfried

How Risky is the Value at Risk?

Dateien

Chiriac_0-381914.pdfGröße: 826.59 KBDownloads: 109

Datum

2010

Autor:innen

Chiriac, Roxana

Pohlmeier, Winfried

Schriftenreihe

The Rimini Centre for Economic Analysis

URI (zitierfähiger Link)

http://nbn-resolving.de/urn:nbn:de:bsz:352-0-381914

Link zur Lizenz

Urheberrechtlich geschützt

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR before and during the recent financial crisis with respect to the choice of sampling window, return distributional assumptions and stochastic properties of the underlying financial assets. Moreover we develop a new data driven approach that is based on the principle of optimal combination and that provides robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis.

Fachgebiet (DDC)

330 Wirtschaft

Zitieren

ISO 690

CHIRIAC, Roxana, Winfried POHLMEIER, 2010. How Risky is the Value at Risk?

BibTex

@techreport{Chiriac2010Risky-36768,
  year={2010},
  series={The Rimini Centre for Economic Analysis},
  title={How Risky is the Value at Risk?},
  number={WP 10-07},
  url={http://www.rcfea.org/RePEc/pdf/wp07_10.pdf},
  author={Chiriac, Roxana and Pohlmeier, Winfried}
}

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URL der Originalveröffentl.

http://www.rcfea.org/RePEc/pdf/wp07_10.pdf

Prüfdatum der URL

2017-01-17

Universitätsbibliographie

Ja