IDEAS home Printed from https://ideas.repec.org/p/rim/rimwps/07_10.html
   My bibliography  Save this paper

How Risky Is the Value at Risk?

Author

Listed:
  • Roxana Chiriac

    () (University of Konstanz, CoFE)

  • Winfried Pohlmeier

    (University of Konstanz, CoFE, ZEW, RCEA)

Abstract

The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR before and during the recent financial crisis with respect to the choice of sampling window, return distributional assumptions and stochastic properties of the underlying financial assets. Moreover we develop a new data driven approach that is based on the principle of optimal combination and that provides robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis.

Suggested Citation

  • Roxana Chiriac & Winfried Pohlmeier, 2010. "How Risky Is the Value at Risk?," Working Paper series 07_10, Rimini Centre for Economic Analysis.
  • Handle: RePEc:rim:rimwps:07_10
    as

    Download full text from publisher

    File URL: http://www.rcea.org/RePEc/pdf/wp07_10.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
    2. Shcherba, Alexandr, 2012. "Market risk valuation modeling for the European countries at the financial crisis of 2008," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 27(3), pages 20-35.

    More about this item

    Keywords

    Value at Risk; model risk; optimal forecast combination;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:rim:rimwps:07_10. 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: (Marco Savioli). General contact details of provider: http://edirc.repec.org/data/rcfeait.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.

    We have no references for this item. You can help adding them by using 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.