Value at Risk

Handbook of Financial Econometrics, Vol 1

Volumn , Issue , 2010, Pages 553-615

  Gourieroux, Christian ^a   Jasiak, Joann ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b YORK UNIVERSITY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84863233772     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-0-444-50897-3.50013-4     Document Type: Chapter

References (127)

1. Aït-Sahalia, Y., and A.W., Lo. "Nonparametric Risk Management and Implied Risk Aversion,"Journal of Econometrics, 94, 9-51.
2. Artzner P., Delbaen F. "Credit Risk and Repayment Option,". ASTIN Bulletin 1992, 22:81-96.
3. Artzner P., Delbaen F., Eber J., Heath D. "Thinking Coherently,". Risk 1997, 10:68-71.
4. Arzac E., Bawa V. "Portfolio Choice and Equilibrium in Capital Markets with Safety First Investors,". Journal of Financial Economics 1977, 4:277-288.
5. Barone-Adesi G., Giannopoulos K. "A Simplified Approach to the Conditional Estimation of VaR,". Futures and Options World 1996, 68-72.
6. Barone-Adesi G., Giannopoulos K. "The Case for Nonparametric Market Risk Measures,". Risk Professional 1999, 1:18-20.
7. Barone-Adesi G., Giannopoulos K., Vosper L. "VaR without Correlations for Nonlinear Portfolios,". Journal of Futures Markets 1999, 19:583-602.
8. Basle Committee on Banking Supervision (1995): "An Internal Model-Based Approach to Market Risk Capital Requirements," Basle, Switzerland.
9. Basle Committee on Banking Supervision (1996a): "Supervisory Framework for the Use of Backtesting in Conjunction with the Internal Approach to Market Risk Capital Requirement," Basle, Switzerland.
10. Basle Committee on Banking Supervision (1996b): "Overview of the Amendment to the Capital Accord to Incorporate Market Risk," Basle, Switzerland.
11. Basle Committee on Banking Supervision (1996c): "Amendment to the Capital Accord to Incorporate Market Risk," Basle, Switzerland.
12. Basle Committee on Bankin'g Supervision (2000): "Principles for the Management of Credit Risk," Basle, Switzerland.
13. Basset G., Koenker R. "Regression Quantiles,". Econometrica 1978, 46:33-50.
14. Bassi, F., P., Embrechts, and M., Kafetzaki (1997): "Risk Management and Quantile Estimation," In: Adler, R., R., Feldman, and M., Taqqu (eds.), Practical Guide to Heavy Tails, Birkhauser, Boston.
15. Beder T. "VaR: Seductive, but Dangerous,". Financial Analyst Journal 1995, 12-21.
16. Bielecki T., Rutkowski M. "Credit Risk: Modelling, Valuation and Hedging," 2000, Springer-Verlag, New York, (Inpress).
17. Billio M., Pelizzon L. "Value-at-Risk: A Multivariate Switching Regime Approach,". Journal of Empirical Finance 2000, 7:531-554.
18. Black F., Scholes M. "The Pricing of Options and Corporate Liabilities,". Journal of Political Economy 1973, 81:637-659.
19. Boos D. "Using Extreme Value Theory to Estimate Large Percentiles,". Technometrics 1984, 26:33-39.
20. Chernozhukov V., Umantsev L. "Conditional Value-at-Risk: Aspects of Modeling and Estimation,". Empirical Economics 2001, 26:271-292.
21. Coles S. "An Introduction to Statistical Modelling of Extreme Value," Springer Series in Statistics 2001, Springer-Verlag, London.
22. Crosbie P. "Modeling Default Risk," Document 999.0000.031 1998, KMV Corporation.
23. Crouhy M., Galai D., Mark R. "A Comparative Analysis of Current Credit Risk Models,". Journal of Banking and Finance 2000, 24:59-117.
24. Danielsson J., de Vries C. "Tail Index and Quantile Estimation with Very High Frequency Data,". Journal of Empirical Finance 1997, 4:241-257.
25. Danielsson, J., and C., de Vries (1998): "Beyond the Sample: Extreme Quantile and Probability Estimation," London School of Economics, Discussion Paper 298.
26. Davidson A., Smith R. "Model for Exceedances over High Threshold,". Journal of the Royal Statistical Society 1990, 52:393-442.
27. Dekkers A., Einmahl J., De Haan L. "A Moment Estimator for the Index of an Extreme Value Distribution,". Annals of Statistics 1989, 17:1833-1855.
28. De Haan L., Janses D., Koedjik K., de Vries C. "Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risk,". Extreme Value Theory and Applications 1994, 471-487. Kluwer. Galambos (Ed.).
29. Diebold F., Inoue A. "Long Memory and Regime Switching,". Journal of Econometrics 2001, 105:131-160.
30. Dowd K. "Beyond Value at Risk. The New Science of Risk Management," 1998, Wiley and Sons, London.
31. Duffie D., Kan R. "A Yield Factor Model of Interest Rates,". Mathematical Finance 1996, 6:379-406.
32. Duffie D., Pan J. "An Overview of Value-at-Risk,". Journal of Derivatives 1997, 4:7-49.
33. El Jahel L., Perraudin W., Sellin P. "Value-at-Risk for Derivatives,". Journal of Derivatives 1998, 7-26.
34. Embrechts P., Kluppelberg G., Mikosch T. "Modelling Extremal Events," 1997, Springer, Applications of Mathematics.
35. Embrechts, P., A., Mc Neil, D., Straumann, and R., Kaufmann (1999): "Modeling Extremal Events for Insurance and Finance," 15th International Summer School of the Swiss Association of Actuaries.
36. Embrechts P., Resnick S., Samorodnitsky G. "Living on the Edge,". Risk 1998, 11:96-100.
37. Engle R. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation,". Econometrica 1982, 50:987-1008.
38. Engle R., Manganelli S. "CaViaR: Conditional Autoregressive Value-at-Risk by Regression Quantiles,". Journal of Business and Economic Statistics 2004, 2(4).
39. Estrella, A. (1996): "Taylor, Black and Scholes: Series Approximations and Risk Management Pitfalls," In: Risk Measurement and Systematic Risk, Proceedings of the Joint Central Bank Research Conference, Board of Governors of the Federal Reserve System (ed.), Washington DC. 359-379.
40. Falk M. "Asymptotic Normality of the Kernel Quantile Estimator,". The Annals of Statistics 1985, 13:428-433.
41. Feng D., Gourieroux C., Jasiak J. "The Ordered Qualitative Model for Credit Rating Transitions,". Journal of Empirical Finance 2008, 15:111-130.
42. Finger C. "When is a Portfolio of Options Normally Distributed,". Quarterly Risk-Metrics Monitor, Third Quarter 1997, 33-41.
43. Foellmer H., Leukert P. "Quantile Hedging,". Finance and Stochastics 1999, 3:251-273.
44. Fons J. "Using Default Rates to Model the Term Structure of Credit Risk,". Financial Analyst Journal 1994, 25-32.
45. Gagliardini P., Gourieroux C. "Migration Correlation: Definition and Consistent Estimation,". Journal of Banking and Finance 2005, 29:865-891.
46. Gagliardini P., Gourieroux C. "Stochastic Migration Models with Applications to Corporate Risk,". Journal of Financial Econometrics 2005, 3:188-226.
47. Garman M. "Improving on VaR,". Risk 1996, 9:61-63.
48. Garman M. "Taking VaR to Pieces,". Risk 1997, 10:70-71.
49. Genest C., Rivest L. "Statistical Inference Procedures for Bivariate Archimedean Copulas,". Journal of the American Statistical Association 1993, 88:1034-1043.
50. Giacomini P., White H. "Test of Conditional Predictive Ability,". Econometrica 2005, 74:1545-1578.
51. Gizycki, M., and N., Hereford (1998): "Assessing the Dispersion in Banks Estimates of Market Risk: The Results of a Value-at-Risk Survey," Discussion Paper, October, Australian Prudential Regulation Authority.
52. Golub B., Tilman L. "Measuring Yield Curve Risk Using Principal Component Analysis, Value at Risk and Key Durations,". The Journal of Portfolio Management 1997, 23:72-84.
53. Gordy M. "Granularity Adjustment in Portfolio Risk Management,". Risk Measures for the 21st Century 2004, Wiley. G. Szego (Ed.).
54. Gordy, M., and E., Luthebohmert (2007): "Granularity Adjustment for Basel II," Deutsche Bank, Discussion Paper 01/2007.
55. Gourieroux C., Jasiak J. "Nonlinear Impulse Response Function,". Annales d'Economie et de Statistique 1999, 78:1-33.
56. Gourieroux C., Jasiak J. "Local Likelihood Density Estimation and Value at Risk," 2000, CREST DP.
57. Gourieroux C., Jasiak J. "Econometrics of Finance," 2001, Princeton University Press, Princeton.
58. Gourieroux C., Jasiak J. "Memory and Infrequent Breaks,". Economics Letters 2001, 70:29-41.
59. Gourieroux C., Jasiak J. "Dynamic Factor Models,". Econometric Reviews 2001, 20(4):385-424.
60. Gourieroux C., Jasiak J. "Dynamic Quantile Models,". Journal of Econometrics 2008, 147:198-205.
61. Gourieroux C., Liu W. "Control and Out-of-Sample Validation of Dependent Risk,". Journal of Risk and Insurance 2009, (Inpress).
62. Gourieroux C., Laurent J.P., Scaillet O. "Sensitivity Analysis of Values at Risk,". Journal of Empirical Finance 2000, 7:225-247.
63. Gourieroux C., Monfort A. "Statistics and Econometric Models," 1998, Vol I. Cambridge University Press.
64. Gourieroux C., Monfort A. "Infrequent Extreme Risks,". Geneva Papers on the Risk and Insurance Theory 2004, 29:5-12.
65. Gourieroux C., Robert C. "Stochastic Unit Root Models,". Econometric Theory 2006, 22:1052-1090.
66. Group of Thirty (1993): "Derivatives: Practices and Principles," Global Derivatives Study Group, G30, Report, July.
67. Hamilton J. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,". Econometrica 1989, 57:357-384.
68. Hill D. "A Simple Approach to Inference About the Tail of a Distribution,". The Annals of Statistics 1975, 13:331-341.
69. Horowitz J. "A Smoothed Maximum Score Estimator for the Binary Response Model,". Econometrica 1992, 60:505-531.
70. Hsing T. "On Tail Index Estimation Using Dependent Data,". Annals of Statistics 1991, 19:1547-1569.
71. Huisman R. "VaR+: Fat Tails in Financial Risk Managament,". Journal of Risk 1997, 1:47-61.
72. Hull J., White A. "The Pricing of Options on Assets with Stochastic Volatilities,". Journal of Finance 1987, 42:281-300.
73. Hull J., White A. "The Price of Default,". Risk 1992, 5:101-103.
74. Hull J., White A. "Incorporating Volatility Updating into the Historical Simulation Method for Calculating Value at Risk,". Journal of Risk 1998, 1.
75. Hull J., White A. "Value at Risk when Daily Changes in Market Variables are not Normally Distributed,". Journal of Derivatives 1998, 5:9-19.
76. Hull J., White A. "Valuing Credit Default Swaps II: Modelling Default Correlations,". Journal of Derivatives 2001, 8:12-23.
77. Jackson P., Mande D., Perraudin W. "Bank Capital and Value at Risk,". Journal of Derivatives 1997, 73-89.
78. Jamshidian F., Zhu Y. "Scenario Simulations: Theory and Methodology,". Finance and Stochastics 1997, 1:43-67.
79. Janosi T., Jarrow R., Yildirim Y. "Estimating Default Probabilities in Equity Prices,". Journal of Investment Management 2003, 1. First Quarter.
80. Jansen D., Koedijk K., de Vries C. "Portfolio Selection with Limited Downside Risk,". Journal of Empirical Finance 2000, 7:247-269.
81. Jarrow R. "Default Parameter Estimation Using Market Prices,". Fiancial Analyst Journal 2001, 57:75-92.
82. Jarrow R., Lando D., Turnbull S. "A Markov Model for the Term Structure of Credit Risk Spreads,". Review of Financial Studies 1997, 10:481-523.
83. Jarrow R., Lando D., Yu F. "Default Risk and Diversification: Theory and Applications,". Mathematical Finance 2005, 15:1-26.
84. Jarrow R., Turnbull S. "The Intersection of Market and Credit Risk,". Journal of Banking and Finance 2000, 24:271-299.
85. Joe H. "Multivariate Models and Dependence Concepts," 1997, Chapman and Hall.
86. Jorion P. "Value-at-Risk: The New Benchmark for Controlling Market Risk," 1997, McGrawHill, Chicago.
87. Kliger D., Sarig O. "The Information Value of Bond Ratings,". Journal of Finance 2000, 55:2879-2902.
88. Kotz S., Nadarajah S. "Extreme Value Distributions," 2000, Imperial College Press, London.
89. Lando D. "Modelling Bonds and Derivatives with Default Risk,". Mathematics of Derivative Securities 1997, 369-393. Cambridge University Press. M. Dempster, S. Pliska (Eds.).
90. Lando D. "On Cox Processes and Credit Risky Securities,". Review of Derivatives Research 1998, 2:99-120.
91. Lando D. "Some Elements of Rating Based Credit Risk Modeling". Advanced Fixed Income Valuation Tools 2000, 193-215. Wiley. N. Jegadeesh, B. Tuckman (Eds.).
92. Lando D., Skoderberg T. "Analysing Rating Transition and Rating Drift with Continuous Observations,". The Journal of Banking and Finance 2002, 26:423-444.
93. Levy H., Sarnat M. "Safety First. An Expected Utility Principle,". Journal of Financial and Quantitative Analysis 1972, 7:1829-1834.
94. Lobato I., Savin N. "Real and Spurious Long Memory Properties of Stock Market Data,". Journal of Business and Economic Statistics 1997, 16:261-283.
95. Longerstay, J. (1996): "An Improved Methodology for Measuring VaR," RiskMetrics Monitor, Second Quarter, J.P. Morgan.
96. Longin F. "From Value at Risk to Stress Testing: The Extreme Value Approach,". Journal of Banking and Finance 2000, 7:1097-1130.
97. Longin F. "Beyond the VaR,". Journal of Derivatives 2001, 8:36-48.
98. Longstaff F., Schwartz E. "A Simple Approach to the Valuing Risky Fixed and Floating Rate Debt,". Journal of Finance 1995, 50:789-819.
99. Malz, A. (2000): "Vega Risk and the Smile," Working Paper, The RiskMetrics Group.
100. Mandelbrot B. "The Variation of Certain Speculative Prices,". Journal of Business 1963, 36:394-419.
101. Marshall C., Siegel M. "Value at Risk: Implementing a Risk Measurement Standard,". The Journal of Derivatives 1997, 4:91-110.
102. Merton R. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,". The Journal of Finance 1974, 29:449-470.
103. Mina, J., and A., Ulmer (1999): "Delta-Gamma Four Ways," Working Paper, the RiskMetrics Group.
104. Minnich, M. (1998): "A Primer on Value at Risk," In Fabozzi, F J. (ed.), Perspectives on Interest Rate Risk Management for Money Managers and Traders, chapter 3, 397-50.
105. Moody's Investors Service (1997): "Moody's Rating Migration and Credit Quality Correlation, 1920-1996," July.
106. Morgan Guaranty Trust Company (1996): "RiskMetrics Technical Document," 4th ed.
107. Nielsen, L., J., Saa-Requejo, and P., Santa-Clara (1993): "Default Risk and Interest Rate Risk: The Term Structure of Default Spreads," INSEAD.
108. Oda N., Muranoga J. "A New Framework for Measuring the Credit Risk of a Portfolio - Ex-VaR Model,". Discussion Paper, Institute of Monetary and Economic Studies, Bank of Japan 1997, 97:1-45.
109. Phelan, M. (1995): "Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of J.P. Morgan's RiskMetrics," Working Paper, Wharton School of Management.
110. Pickands J. "Statistical Inference Using Order Statistics,". Annals of Statistics 1975, 3:119-131.
111. Pritsker M. "Evaluating Value at Risk Methodologies: Accuracy versus Computational Time,". Journal of Financial Services Research 1997, 201-241.
112. Resnick S. "Extreme Values, Regular Variation and Point Processes," 1987, Springer, New-York.
113. Resnick S., Starica C. "Consistency of Hill's Estimator for Dependent Data,". Journal of Applied Probability 1995, 32:139-167.
114. Ridder T. "Basics of Statistical VaR-Estimation," 1997, SGZ-Bank, Frankfurt, Karlsruhe.
115. Robert C. "Extremes of α-ARCH Models,". Measuring Risk in Complex Stochastic Systems, vol 147, Lecture Notes in Statistics 2000, Springer. H. Franke, Stahl (Eds.).
116. Schachter B., Butler J. "Estimating Value at Risk with a Precision Measured by Combining Kernel Estimation with Historical Simulation,". Review of Derivatives Research 1998, 1:371-390.
117. Schonbucher P. "Factor Models for Portfolio of Credit Risk," 2000, Bonn Univ. DP, .
118. Sklar A. "Fonctions de répartition àn dimensions et leurs marges,". Publications de, Institut de Statistique de Universite de Paris 1959, 8:229-231.
119. Smith R. "Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground Level Ozone,". Statistical Science 1989, 4:367-393.
120. Smithson C. "Value at Risk,". Risk 1996, 9:25-27.
121. Smithson C. "Value at Risk (2),". Risk 1996, 9:38-39.
122. Tasche D. "Expected Shortfall and Beyond,". Journal of Banking and Finance 2002, 26:1519-1533.
123. Venkataraman S. "Value at Risk for a Mixture of Normal Distributions. The Use of Quasi Bayesian Estimation Techniques,". Economic Perspectives, Federal Reserve Bank of Chicago 1997, 21:2-13.
124. Wang S., Young V. "Ordering Risk: Expected Utility Theory versus Yaari's Dual Theory of Risk,". Insurance: Methematics and Economics 1998, 22:1445-1461.
125. Wilde T. "Probing Granularity,". Risk Magazine 2001, 14:103-106.
126. Wilson T. "Calculating Risk Capital,". The Handbook of Risk Management and Analysis 1996, 193-232. Wiley, Chichester. C. Alexander (Ed.).
127. Zangari P. "An Improved Methodology for Measuring VaR,". Quarterly RiskMetrics Monitor, Second Quarter 1996, 7-25.