Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models

Analyzing value at risk and expected shortfall methods: the use of parametric, non-parametric, and semi-parametric models

Value at Risk (VaR) and Expected Shortfall (ES) are methods often used to measure market risk. Inaccurate and unreliable Value at Risk and Expected Shortfall models can lead to underestimation of the market risk that a firm or financial institution is exposed to, and therefore may jeopardize the wel...

Full description

Bibliographic Details
Main Author: Huang, Xinxin
Other Authors: Boyd, Milton (Agribusiness and Agricultural Economics) Pai, Jeffrey (Warren Center for Acturial Studies and Research)
Published: 2014
Subjects:
Risk Management
Volatility Estimate
Value at Risk
GARCH
ARMA
General Error Distribution (GED)
ARMA(1,1)-GJR-GARCH(1,1)-SGED
Extreme Value Theory (EVT)
General Pareto Distribution (GPD)
Expected Shortfall (ES)
Conditional Tail Expectation (CTE)
Conditional Value at Risk (CVaR)
Online Access:http://hdl.handle.net/1993/23875

Internet

http://hdl.handle.net/1993/23875

Similar Items