IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/5610.html
   My bibliography  Save this paper

Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio

Author

Listed:
  • Kilic, Ekrem

Abstract

Financial crisis those we have been experienced during last two decades encouraged the efforts of both academicians and the market participants to develop clear representations of the risk exposure of a �nancial institute. As a useful tool for measuring market risk of a portfolio, Value-at-Risk has emerged as the standard. However, there are several alternative Value-at-Risk implementations which may pro- duce signi�cantly di¤erent Value-at-Risk forecasts. Thus, evaluation of Value-at-Risk forecasts is as crucial as VaR itself. In this paper I will use the methodology which has described by Christoffersen and Pelletier[6] and I extended the methodology to create duration based analogous of unconditional coverage, conditional coverage and inde- pendence tests. I evaluated 14 Value-at-Risk implementation by using a Turkish Market portfolio which contain foreing currency, stock and bonds.

Suggested Citation

  • Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:5610
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/5610/1/MPRA_paper_5610.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Ekrem Kilic, 2005. "Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models," Econometrics 0510007, University Library of Munich, Germany.
    2. Jon Danielsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," FMG Discussion Papers dp298, Financial Markets Group.
    3. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, December.
    4. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    5. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17.
    6. Peter Christoffersen, 2004. "Backtesting Value-at-Risk: A Duration-Based Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 84-108.
    7. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
    8. Peter Christoffersen & Jinyong Hahn & Atsushi Inoue, 1999. "Testing, Comparing, and Combining Value at Risk Measures," Center for Financial Institutions Working Papers 99-44, Wharton School Center for Financial Institutions, University of Pennsylvania.
    9. Susan Thomas & Mandira Sarma & Ajay Shah, 2003. "Selection of Value-at-Risk models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 337-358.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Value-at-Risk; model evaluation; conditional cover- age; duration based coverage testing;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:5610. 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: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.