Nieto, María RosaRuiz Ortega, EstherUniversidad Carlos III de Madrid. Departamento de Estadística2008-12-232008-12-232008-12https://hdl.handle.net/10016/3384We 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.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaBacktestingExtreme valueGARCH modelsLeverage effectworking paperEstadísticaopen accessws087326