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Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking & Finance, 2014)*

* This paper is a replication of an original study

Author

Listed:
  • Xu, Jiahua

Abstract

This paper aims to replicate the semiparametric Value-At-Risk model by Dias (2014) and to test its legitimacy. The study confirms the superiority of semiparametric estimation over classical methods such as mixture normal and Student-t approximations in estimating tail distribution of portfolios, which can be credited to the model's uniqueness in combining strengths of both extreme value theory (EVT) models and other multivariate models. The author however discovers, in one instance, the infeasibility of the Dias model, and suggests a modification.

Suggested Citation

  • Xu, Jiahua, 2019. "Semiparametric Value-At-Risk Estimation of Portfolios. A replication study of Dias (Journal of Banking & Finance, 2014)," International Journal for Re-Views in Empirical Economics (IREE), ZBW - Leibniz Information Centre for Economics, vol. 3(2019-6), pages 1-20.
    • Handle: RePEc:zbw:ireejl:206822
    DOI: 10.18718/81781.15
    as

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    References listed on IDEAS

    as
    1. Zhang, Zhengjun & Shinki, Kazuhiko, 2007. "Extreme co-movements and extreme impacts in high frequency data in finance," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1399-1415, May.
    2. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
    3. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 211-250.
    Full references (including those not matched with items on IDEAS)

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    Replication

    This item is a replication of:
  • Dias, Alexandra, 2014. "Semiparametric estimation of multi-asset portfolio tail risk," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 398-408.

    • More about this item

    Keywords

    Multi-asset portfolios; Risk management; Tail probability; Tail risk; Multivariate extremevalue theory; Value-at-Risk; Replication study;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

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