Danielsson, Jon 
ORCID: 0009-0006-9844-7960 and Vries, C. G. de
(2000)
Value-at-risk and extreme returns.
Annales d'economie et de Statistique, 60 (Specia).
pp. 236-269.
ISSN 0769-489X
Abstract
We propose a semi-parametric method for unconditional Value-at-Risk (VaR) evaluation. The largest risks are modelled parametrically, while smaller risks are captured by the non-parametric empirical distribution function. A comparison of methods on a portfolio of stock and option returns reveals that at the 5% level the RiskMetrics analysis is best, but for predictions of low probability worst outcomes, it strongly underpredicts the VaR while the semi-parametric method is the most accurate.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.pse.ens.fr/adres/index.html |
| Additional Information: | © 2000 Institut National de la Statistique et des Etudes Economiques |
| Divisions: | Financial Markets Group Finance |
| Subjects: | H Social Sciences > HG Finance |
| Date Deposited: | 16 Jul 2009 11:25 |
| Last Modified: | 01 Oct 2024 03:03 |
| URI: | http://eprints.lse.ac.uk/id/eprint/7328 |
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