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Conservatism, Accuracy and Efficiency: Comparing Value-at-Risk Models

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Author Info
James Engel () (Australian Prudential Regulation Authority)
Marianne Gizycki () (Reserve Bank of Australia)

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Abstract

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.

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File URL: http://www.apra.gov.au/RePEc/RePEcDocs/Archive/working_papers/wp0002.pdf
File Format: application/pdf
File Function: main text
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File URL: http://www.apra.gov.au/RePEc/RePEcDocs/Archive/code/cd0001.zip
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File Function: Value-at-Risk estimation code
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Publisher Info
Paper provided by Australian Prudential Regulation Authority in its series Working Papers with number wp0002.

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Date of creation: 23 Feb 1999
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Handle: RePEc:apr:aprewp:wp0002

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Related research
Keywords: Value-at-Risk; Foreign Exchange;

Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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This page was last updated on 2009-11-20.

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