English, Article edition: A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL CARLO MARINELLI; STEFANO D'ADDONA; SVETLOZAR T. RACHEV

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Bookmark: http://trove.nla.gov.au/version/83078
Physical Description
  • article
Language
  • English

Edition details

Title
  • A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
Author
  • CARLO MARINELLI
  • STEFANO D'ADDONA
  • SVETLOZAR T. RACHEV
Physical Description
  • article
Notes
  • We compare in a backtesting study the performance of univariate models for Value-at-Risk (VaR) and expected shortfall based on stable laws and on extreme value theory (EVT). Analyzing these different approaches, we test whether the sumâstability assumption or the maxâstability assumption, that respectively imply αâstable laws and Generalized Extreme Value (GEV) distributions, is more suitable for risk management based on VaR and expected shortfall. Our numerical results indicate that αâstable models tend to outperform pure EVT-based methods (especially those obtained by the so-called block maxima method) in the estimation of Value-at-Risk, while a peaks-over-threshold method turns out to be preferable for the estimation of expected shortfall. We also find empirical evidence that some simple semiparametric EVT-based methods perform well in the estimation of VaR.
  • Value-at-Risk, expected shortfall, Paretian stable laws, extreme value theory
  • RePEc:wsi:ijtafx:v:10:y:2007:i:06:p:1043-1075
Language
  • English
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