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

Nieto, María Rosa; Ruiz Ortega, Esther

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

Autor(es): Nieto, María Rosa; Ruiz Ortega, Esther

Editor: Universidad Carlos III de Madrid. Departamento de Estadística

Fecha de edición: 2008-12

Serie/Num.: UC3M Working papers. Statistics and Econometrics
08-26

Palabras clave: Backtesting , Extreme value , GARCH models , Leverage effect

URI: http://hdl.handle.net/10016/3384

Derechos: Atribución-NoComercial-SinDerivadas 3.0 España

Resumen:

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 v [+]

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