A new approach to comparing VaR estimation methods

Journal of Derivatives

Volumn 16, Issue 2, 2008, Pages 54-66

  Pérignon, Christophe ^a   Smith, Daniel R ^b  

^a HEC PARIS   (France)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 58149302580     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/JOD.2008.16.2.054     Document Type: Article

References (28)

1. Bakshi, G., and G. Panayotov. "The Capital Adequacy Puzzle." Working paper, University of Maryland, 2006.
2. Bao, Y., T.-H. Lee, and B. Saltoglu. "Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check." Journal of Forecasting, 25 (2006), pp. 10 1-128.
3. Barone-Adesi, G., K. Giannopoulos, and L. Vosper. "VaR without Correlations for Portfolios of Derivative Securities." Journal of Futures Markets, 19 (1999), pp. 583-602.
4. Barone-Adesi, G. "Backtesting Derivative Portfolios with Filtered Historical Simulation." European Financial Management, 8 (2002), pp. 31-58.
5. Berkowitz, J. "Testing Density Forecasts, with Applications to Risk Management." Journal of Business and Economic Statistics, 19 (2001), pp. 465-474.
6. Berkowitz, J., and J. O'Brien. "How Accurate Are Value-at-Risk Models at Commercial Banks?" Journal of Finance, 57 (2002), pp. 1093-1111.
7. Berkowitz, J. "Estimating Bank Trading Risk: A Factor Model Approach." In M. Carey and R.M. Stulz, Eds., The Risk of Financial Institutions. University of Chicago Press, 2007.
8. Berkowitz, J., P. F. Christoffersen, and D. Pelletier. "Evaluating Value-at-Risk Models with Desk-Level Data." Working paper, McGill University, 2008.
9. Bollerslev, T. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics, 31 (1986), pp. 307-327.
10. Boudoukh, J., M. Richardson, and R.F. Whitelaw. "The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk," Risk, 11 (1998), pp. 64-67.
11. Brooks, C., A.D. Clare, J.W. Dalle Molle, and G. Persand. "A Comparison of Extreme Value Theory Approaches for Determining Value at Risk." Journal of Empirical Finance, 12 (2005), pp. 339-352.
12. Campbell, S.D. "A Review of Backtesting and Backtesting Procedures." Working paper, Federal Reserve Board, 2005.
13. Christoffersen, P. F. "Evaluating Interval Forecasts." International Economic Review, 39 (1998), pp. 841-862.
14. Christoffersen, P. F. Elements of Financial Risk Management. Academic Press, 2003.
15. Christoffersen, P.F., and D. Pelletier. "Backtesting Value-at-Risk: A Duration-Based Approach." Journal of Financial Econometrics, 2 (2004), pp. 84-108.
16. Danielsson, J. "The Emperor Has No Clothes: Limits to Risk Modelling." Journal of Banking and Finance, 26 (2002), pp. 1273-1296.
17. Engle, R.F., and S. Manganelli. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles." Journal of Business and Economic Statistics, 22 (2004), pp. 367-381.
18. Ferreira, M.A., and J.A. Lopez. "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework." Journal of Financial Econometrics, 3 (2005), pp. 126-168.
19. Hansen, B. "Autoregressive Conditional Density Estimation." International Economic Review, 35 (1994), pp. 705-730.
20. Hull, J.C., and A. White. "Incorporating Volatility Updating into the Historical Simulation Method for Value at Risk." Journal of Risk, 1 (1998), pp. 5-19.
21. Jackson, P., D.J. Maude, and W. Perraudin. "Bank Capital and Value-at-Risk." Journal of Derivatives (Spring 1997), pp. 73-111.
22. Jorion, P. Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edition. McGraw-Hill, 2006.
23. Jorion, P. "Bank Trading Risk and Systematic Risk." In M. Carey and R.M. Stulz Eds., The Risk of Financial Institutions. University of Chicago Press, 2007.
24. Kuester, K., S. Mittnik, and M.S. Paolella. "Value-at-Risk Prediction: A Comparison of Alternative Strategies." Journal of Financial Econometrics, 4 (2006), pp. 53-89.
25. Kupiec, P.H. "Techniques for Verifying the Accuracy of Risk Measurement Models." Journal of Derivatives, 3 (1995), pp. 73-84.
26. Pérignon, C., and D.R. Smith. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks." Working paper, HEC Paris and Simon Fraser University, 2008.
27. Pritsker, M. "The Hidden Dangers of Historical Simulation." Journal of Banking and Finance, 30 (2006), pp. 561-582.
28. Smith, D.R. "Conditional Backtesting of Value-at-Risk Models." Working paper, Simon Fraser University, 2007.