| Autor: |
Sonia Benito Muela, Carmen López-Martin, Raquel Arguedas-Sanz |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
|
| Zdroj: |
ACRN Journal of Finance and Risk Perspectives, Vol 11, Iss 1, Pp 79-104 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2305-7394 |
| DOI: |
10.35944/jofrp.2022.11.1.005 |
| Popis: |
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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