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Alternative Approaches for Estimating Value at Risk

Author

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  • Mert Ural

Abstract

In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting procedures examining the performance of the alternative VaR models appointed that the estimations under Cornish-Fisher expansion are more consistent for the financial asset returns frequently possessing fat tails and asymmetric distribution

Suggested Citation

  • Mert Ural, 2009. "Alternative Approaches for Estimating Value at Risk," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 3(2), pages 63-86.
    • Handle: RePEc:bdd:journl:v:3:y:2009:i:2:p:63-86
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    File URL: http://www.bddk.org.tr/Content/docs/bddkDergiTr/dergi_0006_05.pdf
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    Citations

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    Cited by:

    1. Anindya Chakrabarty & Anupam De & Gautam Bandyopadhyay, 2016. "Horizon heterogeneity, institutional constraint and managerial myopia: a multi-frequency perspective on ELSS," International Journal of Business Excellence, Inderscience Enterprises Ltd, vol. 9(1), pages 18-47.
    2. Samet Günay, 2017. "Value at risk (VaR) analysis for fat tails and long memory in returns," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 215-230, August.

    More about this item

    Keywords

    Value-at-Risk; APGARCH; Expected Shortfall; Cornish-Fisher Expansion; Backtesting;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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