Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
![Risk.net](https://www.risk.net/sites/default/files/styles/print_logo/public/2018-09/print-logo.png?itok=1TpHrpuP)
Value-at-risk forecasts: a comparison analysis of extreme-value versus classical approaches
Gözde Ünal
Abstract
ABSTRACT
This paper compares the performance of several different value-at-risk (VaR) forecast models: historical simulation, RiskMetrics and models based on extreme value theory. Both the parametric maximum likelihood and nonparametric Hill estimator, and the modified estimator of Dekkers, Einmahl and de Haan are applied to estimate the tail index of extreme-value models. Those VaR forecast models that satisfy criteria of both unconditional and conditional coverage have also been tested in terms of a quantile loss function. Among the approaches used in the study, the extreme-value model forecasts are found to outperform the classical historical simulation and RiskMetrics approaches.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net