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Measuring financial risk : comparison of alternative procedures to estimate VaR and ES

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dc.affiliation.dptoUC3M. Departamento de EstadĂ­sticaes
dc.contributor.authorNieto, MarĂ­a Rosa
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de EstadĂ­stica
dc.date.accessioned2008-12-23T09:37:49Z
dc.date.available2008-12-23T09:37:49Z
dc.date.issued2008-12
dc.description.abstractWe 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.
dc.format.mimetypeapplication/pdf
dc.identifier.repecws087326
dc.identifier.urihttps://hdl.handle.net/10016/3384
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries08-26
dc.rightsAtribuciĂ³n-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadĂ­stica
dc.subject.otherBacktesting
dc.subject.otherExtreme value
dc.subject.otherGARCH models
dc.subject.otherLeverage effect
dc.titleMeasuring financial risk : comparison of alternative procedures to estimate VaR and ES
dc.typeworking paper*
dspace.entity.typePublication
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