Publication: Measuring financial risk : comparison of alternative procedures to estimate VaR and ES
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2008-12
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Abstract
We review several procedures for estimating and backtesting two of the most
important measures of risk, the Value at Risk (VaR) and the Expected
Shortfall (ES). The alternative estimators differ in the way the specify and
estimate the conditional mean and variance and the conditional distribution
of returns. The results are illustrated by estimating the VaR and ES of
daily S&P500 returns.
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Backtesting, Extreme value, GARCH models, Leverage effect