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Backtesting value-at-risk based on tail losses
Journal of Empirical Finance, 2008Extreme losses caused by leverage and financial derivatives highlight the need to backtest Value-at-Risk (VaR) based on the sizes of tail losses, because the risk measure currently used disregards losses beyond the VaR boundary. While Basel II backtests VaR by counting the number of exceptions, this paper proposes to use the saddlepoint technique by ...
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Value at Risk Estimation for Heavy Tailed Distributions [PDF]
The International Journal of Business and Finance Research, 2014 The aim of this paper is to derive a coherent risk measure for heavy tailed GARCH processes using extreme value theory. For the proposed measure, the risk associated to a given portfolio is less than the sum of the stand-alone risks of its components. This measure which is value at risk (VaR), is the limiting result of an infinity shift of location and
Imed Gammoudi +2 more
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Fat Tails, Value at Risk, and the Daily Palladium Returns
SSRN Electronic Journal, 2017The past decade has witnessed the rapid growing of the world palladium market. Thus, it is even more important to develop effective quantitative tools for risk management of palladium assets at this moment. In this paper, we investigate five different types of widely-used statistical distributions and employ the industry standard risk measurement ...
Jianhua Ding, Turen Guo, Bin Guo
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Value-at-Risk, Tail Value-at-Risk und Schadenverteilung in der Personenversicherung
Blätter der DGVFM, 2006Zur Herleitung der Gesamtschadenverteilung werden die drei Vorgehensweisen Faltung, Poisson-Approximation und der zentrale Grenzwertsatz vorgestellt. Es werden die Risikomase Value-at-risk und Tail Value-at-risk fur die vorliegende Fragestellung definiert und fur die Normalverteilung allgemein angegeben.
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Asymptotics for value at risk and conditional tail expectation of a portfolio loss
Applied Stochastic Models in Business and Industry, 2020Consider a risk model in which X1,…, Xn are n potential losses from different risky assets at the terminal time, and are n discount factors over the period. In this paper, we establish some asymptotic formulas for the value at risk and conditional tail expectation of the total discounted loss of an investment portfolio.
Xiaonan Su, Xinzhi Wang, Yang Yang
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Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation
Expert Systems with Applications, 2013This paper presents a heavy-tailed mixture model for describing time-varying conditional distributions in time series of returns on prices. Student-t component distributions are taken to capture the heavy tails typically encountered in such financial data.
Nikolay Y. Nikolaev +2 more
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Empirical study of value‐at‐risk and expected shortfall models with heavy tails
The Journal of Risk Finance, 2005PurposeThis paper aims to test empirically the performance of different models in measuring VaR and ES in the presence of heavy tails in returns using historical data.Design/methodology/approachDaily returns of popular indices (S&P500, DAX, CAC, Nikkei, TSE, and FTSE) and currencies (US dollar vs Euro, Yen, Pound, and Canadian dollar) for over ten ...
Fotios Harmantzis +2 more
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Value at Risk Calculations, Extreme Events, and Tail Estimation
The Journal of Derivatives, 2000Value at risk has become a standard approach for estimating and expressing a firm9s exposure to market risk. Unlike the traditional risk measure, standard deviation, VaR focuses only on the tail of the distribution of outcomes - the extreme events. This makes a lot of sense in theory, but a major problem arises in practice, because empirical returns ...
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Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors
SSRN Electronic Journal, 2009The probabilities considered in value-at-risk (VaR) are typically of moderate deviations. However, the variance reduction techniques developed in the literature for VaR computation are based on large deviations methods. Modeling heavy-tailed risk factors using multivariate $t$ distributions, we develop a new moderate-deviations method for VaR ...
Cheng-der Fuh +3 more
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Risk measurement for insurance sector with credible tail value-at-risk
AIP Conference Proceedings, 2019Providing protection against probability of losses is important issue in insurance company. Insurance company must certainly estimate all the risks which can be done by using risk measures. Value-at-Risk (VaR) is one of risk measures that is widely used in insurance industry.
Ferren Alwie +2 more
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