English, Article, Journal or magazine article edition: Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models James Engel; Marianne Gizycki

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Bookmark: http://trove.nla.gov.au/version/159
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models
Author
  • James Engel
  • Marianne Gizycki
Physical Description
  • preprint
Notes
  • Value-at-Risk measures the potential loss on a portfolio, where the potential loss is linked directly to the probability of large, adverse movements in market prices. This paper considers four classes of Value-at-Risk model: variance-covariance models; historical-simulation models; Monte-Carlo simulation models; and extreme-value estimation models. Using portfolio data from all Australian banks over the past ten years, we compare the performance of specific implementations of each of the four Value-at-Risk model classes. Performance assessment is based on a range of measures that address the conservatism, accuracy and efficiency of each model.
  • Value-at-Risk; Foreign Exchange
  • RePEc:apr:aprewp:wp0002
Language
  • English
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