Advanced Search
MyIDEAS: Login to save this paper or follow this series

Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview

Contents:

Author Info

  • Gonzalo GarcÃa-Donato, Pedro Gento and Juan Ortega, University of Castilla-La Mancha
Registered author(s):

    Abstract

    It is well known that financial returns exhibit positive kurtosis and flat tails. The Student model has been proposed in the literature as most adequate in treatment of financial problems than the Normal model. One of those problems is measuring Risk in a given portfolio using the Value At Risk (VAR). We apply Empirical-Bayesian (EB) techniques to the Normal and Student models to obtain VAR. The resultings VAR are easy to calculate and that from Student model has a pretty interpretation in terms of kurtosis. Both VAR were applied to a conjunct of diary observations of returns in six international indexes during the last decade. The results shows that the Student model is better than the Normal, but also shows that exists characteristics other than kurtosis in the financial returns that affect the goodness of results.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 271.

    as in new window
    Length:
    Date of creation: 01 Apr 2001
    Date of revision:
    Handle: RePEc:sce:scecf1:271

    Contact details of provider:
    Email:
    Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
    More information through EDIRC

    Related research

    Keywords: VAR; Bayes; Empirical-Bayes; Kurtosis; Student; Normal;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:sce:scecf1:271. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.