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Value at Risk & Expected Shortfall. En empirisk analys av riskmåttens parametrar

Norell, Jens LU (2014) NEKH01 20131
Department of Economics
Abstract (Swedish)
The purpose of this paper is, with the help of the historical simulation and bootstrapping methods, to establish the optimal periods for Value at Risk and Expected Shortfall forecasts. Value at Risk and Expected Shortfall are two well-used risk measures in finance which tell us how much we can expect to lose on a particular investment with a certain probability over a specific period of time.

The conclusion suggests that short periods of time (i.e. one year or less) is not optimal for financial risk forecasts. Instead, a wider period of time is preferred, between one to five years of data.
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author
Norell, Jens LU
supervisor
organization
course
NEKH01 20131
year
type
M2 - Bachelor Degree
subject
keywords
Bootstrapping, Historical Simulation, Estimation period, Expected Shortfall, Value at Risk
language
Swedish
id
4305491
date added to LUP
2014-02-14 11:13:22
date last changed
2014-02-14 11:13:22
@misc{4305491,
  abstract     = {The purpose of this paper is, with the help of the historical simulation and bootstrapping methods, to establish the optimal periods for Value at Risk and Expected Shortfall forecasts. Value at Risk and Expected Shortfall are two well-used risk measures in finance which tell us how much we can expect to lose on a particular investment with a certain probability over a specific period of time.

The conclusion suggests that short periods of time (i.e. one year or less) is not optimal for financial risk forecasts. Instead, a wider period of time is preferred, between one to five years of data.},
  author       = {Norell, Jens},
  keyword      = {Bootstrapping,Historical Simulation,Estimation period,Expected Shortfall,Value at Risk},
  language     = {swe},
  note         = {Student Paper},
  title        = {Value at Risk & Expected Shortfall. En empirisk analys av riskmåttens parametrar},
  year         = {2014},
}