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Backtesting VaR Models: An Expected Shortfall Approach

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  • Timotheos Angelidis
  • Stavros Degiannakis

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  • Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
    • Handle: RePEc:crt:wpaper:0701
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    Cited by:

    1. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Marcin Faldzinski & Magdalena Osinska, 2016. "Volatility estimators in econometric analysis of risk transfer on capital markets," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 21-35.
    3. Marcin Faldzinski, 2009. "Application of Modified POT Method with Volatility Model for Estimation of Risk Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 119-128.
    4. Härdle, Wolfgang Karl & Mungo, Julius, 2008. "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers 2008-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Yin Liao, 2012. "Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction," CAMA Working Papers 2012-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Joanna Górka, 2009. "Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 9, pages 39-50.
    7. Saša ŽIKOVIÆ & Randall K. FILER, 2013. "Ranking of VaR and ES Models: Performance in Developed and Emerging Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(4), pages 327-359, August.
    8. repec:hum:wpaper:sfb649dp2008-006 is not listed on IDEAS
    9. Sasa Zikovic & Randall Filer, 2009. "Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets," CESifo Working Paper Series 2820, CESifo.
    10. Xiaoying Huang, 2017. "A Double-Exponential Jump model and its application to risk measure in Wheat spot market," Economics Bulletin, AccessEcon, vol. 37(2), pages 1298-1309.
    11. Shiferaw, Y., 2018. "The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 275991, International Association of Agricultural Economists.
    12. L. Kourouma & Denis Dupré & G. Sanfilippo & O. Taramasco, 2011. "Extreme Value at Risk and Expected Shortfall during Financial Crisis," Post-Print halshs-00658495, HAL.
    13. Lazar, Emese & Zhang, Ning, 2019. "Model risk of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 74-93.
    14. de Araújo, André da Silva & Garcia, Maria Teresa Medeiros, 2013. "Risk contagion in the north-western and southern European stock markets," Journal of Economics and Business, Elsevier, vol. 69(C), pages 1-34.
    15. Magdalena Osinska & Marcin Faldzinski, 2008. "GARCH and SV Models with Application of Extreme Value Theory," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 45-52.

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    More about this item

    Keywords

    Value-at-Risk; Expected Shortfall; Volatility Forecasting; ARCH Models;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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