Publikation: How Risky is the Value at Risk?
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2010
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The Rimini Centre for Economic Analysis; WP 10-07
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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.
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CHIRIAC, Roxana, Winfried POHLMEIER, 2010. How Risky is the Value at Risk?BibTex
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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.
Prüfdatum der URL
2017-01-17
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