Danielsson, Jon 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 |
| Library of Congress subject classification: | H Social Sciences > HG Finance |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Departments > Finance |
| Date Deposited: | 16 Jul 2009 11:25 |
| URL: | http://eprints.lse.ac.uk/7328/ |
Actions (login required)
 |
Record administration - authorised staff only |
