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Quantifying the uncertainty in VaR and expected shortfall estimates

In: Handbook of Research Methods and Applications in Empirical Finance

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  • Silvia Stanescu
  • Radu Tunaru

Abstract

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Suggested Citation

  • Silvia Stanescu & Radu Tunaru, 2013. "Quantifying the uncertainty in VaR and expected shortfall estimates," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 15, pages 357-372, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:14545_15
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    References listed on IDEAS

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    1. Peter Christoffersen & Silvia Gonçalves, 2004. "Estimation Risk in Financial Risk Management," CIRANO Working Papers 2004s-15, CIRANO.
    2. Yamai, Yasuhiro & Yoshiba, Toshinao, 2002. "Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pages 87-121, January.
    3. Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
    4. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    5. Bams, Dennis & Lehnert, Thorsten & Wolff, Christian C.P., 2005. "An evaluation framework for alternative VaR-models," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 944-958, October.
    6. Moraux, Franck, 2011. "How valuable is your VaR? Large sample confidence intervals for normal VaR," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 4(2), pages 189-200, March.
    7. Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), 2013. "Handbook of Research Methods and Applications in Empirical Finance," Books, Edward Elgar Publishing, number 14545.
    8. Christoffersen, Peter, 2011. "Elements of Financial Risk Management," Elsevier Monographs, Elsevier, edition 2, number 9780123744487.
    9. Matthew Pritsker, 1997. "Evaluating Value at Risk Methodologies: Accuracy versus Computational Time," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 201-242, October.
    10. Inui, Koji & Kijima, Masaaki, 2005. "On the significance of expected shortfall as a coherent risk measure," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 853-864, April.
    11. Chris Brooks & Gita Persand, 2000. "Value at Risk and Market Crashes," ICMA Centre Discussion Papers in Finance icma-dp2000-01, Henley Business School, University of Reading.
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