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A corrected Value-at-Risk predictor

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  • Carl Lonnbark

Abstract

In this article, it is argued that the estimation error in Value-at-Risk (VaR) predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

Suggested Citation

  • Carl Lonnbark, 2010. "A corrected Value-at-Risk predictor," Applied Economics Letters, Taylor & Francis Journals, vol. 17(12), pages 1193-1196.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:12:p:1193-1196
    DOI: 10.1080/17446540902817619
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    References listed on IDEAS

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    1. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
    2. Hang Chan, Ngai & Deng, Shi-Jie & Peng, Liang & Xia, Zhendong, 2007. "Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations," Journal of Econometrics, Elsevier, vol. 137(2), pages 556-576, April.
    3. Bao, Yong & Ullah, Aman, 2004. "Bias of a Value-at-Risk estimator," Finance Research Letters, Elsevier, vol. 1(4), pages 241-249, December.
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    Cited by:

    1. Saeed Shaker-Akhtekhane & Solmaz Poorabbas, 2023. "Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-6.

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