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

dc.contributor.author	Nieto, María Rosa
dc.contributor.author	Ruiz Ortega, Esther
dc.contributor.editor	Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned	2008-12-23T09:37:49Z
dc.date.available	2008-12-23T09:37:49Z
dc.date.issued	2008-12
dc.identifier.uri	http://hdl.handle.net/10016/3384
dc.description.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.
dc.format.mimetype	application/pdf
dc.language.iso	eng
dc.relation.ispartofseries	UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries	08-26
dc.rights	Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other	Backtesting
dc.subject.other	Extreme value
dc.subject.other	GARCH models
dc.subject.other	Leverage effect
dc.title	Measuring financial risk : comparison of alternative procedures to estimate VaR and ES
dc.type	workingPaper
dc.subject.eciencia	Estadística
dc.rights.accessRights	openAccess
dc.identifier.repec	ws087326
dc.affiliation.dpto	UC3M. Departamento de Estadística