Frontiers in VaR forecasting and backtesting
| Autor: | María Rosa Nieto, Esther Ruiz |
|---|---|
| Přispěvatelé: | Ministerio de Economía y Competitividad (España) |
| Rok vydání: | 2016 |
| Předmět: |
Alternative methods
Risk Actuarial science Series (mathematics) Autoregressive conditional heteroskedasticity Risk measure 05 social sciences Extreme value theory Estadística Backtesting 01 natural sciences Garch 010104 statistics & probability 0502 economics and business Econometrics Economics Relevance (information retrieval) 0101 mathematics Business and International Management Quantile Value at risk 050205 econometrics |
| Zdroj: | e-Archivo: Repositorio Institucional de la Universidad Carlos III de Madrid Universidad Carlos III de Madrid (UC3M) e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid instname |
| Popis: | The interest in forecasting the Value at Risk (VaR) has been growing over the last two decades, due to the practical relevance of this risk measure for financial and insurance institutions. Furthermore, VaR forecasts are often used as a testing ground when fitting alternative models for representing the dynamic evolution of time series of financial returns. There are vast numbers of alternative methods for constructing and evaluating VaR forecasts. In this paper, we survey the new benchmarks proposed in the recent literature. Financial support from Project ECO2012-32401 by the Spanish Government is gratefully acknowledged by the second author. We are also grateful to the Editor Rob Hyndman for his support and to three anonymous reviewers for their detailed and constructive comments. |
| Databáze: | OpenAIRE |
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