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Measuring financial risk : comparison of alternative procedures to estimate VaR and ES

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Author Info
Maria Rosa Nieto ()
Esther Ruiz ()
Abstract

We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean and variance and the conditional distribution of returns. The results are illustrated by estimating the VaR and ES of daily S&P500 returns.

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Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws087326.

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Date of creation: Dec 2008
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Handle: RePEc:cte:wsrepe:ws087326

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Related research
Keywords: Backtesting; Extreme value; GARCH models; Leverage effect;

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