A comparative study of VaR models
(2012) NEKN02 20121Department of Economics
- Abstract (Swedish)
- In this paper, we investigate the predictive performance of eight common Value at Risk (VaR) estimation methods with the daily data of OMX Stockholm 30 and FTSE 100 indexes. These methods include non-parametric, parametric as well as Extreme Value Theory approaches whose daily and 10-day estimates are then evaluated using the Christoffersen frequency test. The reason why we choose these two stock indexes is because that they respectively represent markets with small and big capitalizations, and the main goal of our study is to search for empirical evidences on whether or not the market size could have some important implications on the Value at Risk estimation process, such as if a universal approach could be applied to both types of... (More)
- In this paper, we investigate the predictive performance of eight common Value at Risk (VaR) estimation methods with the daily data of OMX Stockholm 30 and FTSE 100 indexes. These methods include non-parametric, parametric as well as Extreme Value Theory approaches whose daily and 10-day estimates are then evaluated using the Christoffersen frequency test. The reason why we choose these two stock indexes is because that they respectively represent markets with small and big capitalizations, and the main goal of our study is to search for empirical evidences on whether or not the market size could have some important implications on the Value at Risk estimation process, such as if a universal approach could be applied to both types of markets. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2621156
- author
- Recht, Sebastian LU and Wang, Kaifeng LU
- supervisor
- organization
- course
- NEKN02 20121
- year
- 2012
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Christoffersen frequency test, Extreme value theory, Market capitalization, Historical simulation, Value at Risk
- language
- English
- id
- 2621156
- date added to LUP
- 2012-06-08 14:30:59
- date last changed
- 2012-06-08 14:30:59
@misc{2621156, abstract = {{In this paper, we investigate the predictive performance of eight common Value at Risk (VaR) estimation methods with the daily data of OMX Stockholm 30 and FTSE 100 indexes. These methods include non-parametric, parametric as well as Extreme Value Theory approaches whose daily and 10-day estimates are then evaluated using the Christoffersen frequency test. The reason why we choose these two stock indexes is because that they respectively represent markets with small and big capitalizations, and the main goal of our study is to search for empirical evidences on whether or not the market size could have some important implications on the Value at Risk estimation process, such as if a universal approach could be applied to both types of markets.}}, author = {{Recht, Sebastian and Wang, Kaifeng}}, language = {{eng}}, note = {{Student Paper}}, title = {{A comparative study of VaR models}}, year = {{2012}}, }