English, Article, Journal or magazine article edition: Testing, Comparing, and Combining Value at Risk Measures Peter Christoffersen; Jinyong Hahn; Atsushi Inoue

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Bookmark: http://trove.nla.gov.au/version/190525
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing, Comparing, and Combining Value at Risk Measures
Author
  • Peter Christoffersen
  • Jinyong Hahn
  • Atsushi Inoue
Physical Description
  • preprint
Notes
  • Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures. Risk managers are therefore often left with the daunting task of having to choose from this plethora of risk measures. Accordingly, this paper develops a framework for answering the following questions about VaRs: 1) How can a risk manager test that the VaR measure at hand is properly specified, given the history of asset returns? 2) Given two different VaR measures, how can the risk manager compare the two and pick the best in a statistically meaningful way? Finally, 3) How can the risk manager combine two or more different VaR measures in order to obtain a single statistically superior measure? The usefulness of the methodology is illustrated in an application to daily returns on the S&​P500. In the application, competing VaR measures are calculated from either historical or option-price based volatility measures, and the VaRs are then tested and compared.
  • RePEc:wop:pennin:99-44
Language
  • English
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