On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach

Rakhal D. Davé · Gerhard Stahl

45 citations0/0 files storedContributions to economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

Abstract

We present a thorough empirical study (based on over 8 years of daily data) of candidate models for forecasting losses in relation to positions held against individual risk factors as well as losses in relation to a portfolio of risk factors. As part of the study, we also define various measures and visualization techniques to evaluate the performance of the candidate models in the context of risk management and introduce two innovations: 1) tail emphasized model optimization and 2) implied covariance forecasting. Finally, we highlight the important issue of the estimation error of the covariance matrix in relation to its dimension and the number of datum from which it is estimated and outline a framework for handling this problem.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 45 citations exist upstream.

References

1992ARCH modeling in finance 19965 Stochastic volatility 1997Volatilities of different time resolutions — Analyzing the dynamics of market components 1990Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model 1995VAR: Seductive but Dangerous 2007Evaluation of Value-at-Risk Models Using Historical Data 1996Scenario Simulation: Theory and methodology

Cited by

2007Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 2018Mark to market value at risk 2001Safety-first analysis and stable paretian approach to portfolio choice theory 2000Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework 2014VaR without Correlations for Portfolios of Derivative Securities 2002Evaluating Covariance Matrix Forecasts in a Value-at-Risk Framework

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.