IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/46251.html
   My bibliography  Save this paper

Non-Parametric methods: An application for the risk measurement

Author

Listed:
  • Zeballos, David

Abstract

Currently, the financial institutions are exposed to different types of risks, which has increased the need for new analytical instruments for the risk management, being one of most developed the Value at Risk (VaR). There are different methods of calculation; however, as it was affirmed, there exists an increasing need to be provided with analytical tools that shape the behavior of the financial markets in a more accurate way, in this sense, the present work proposes the calculation of the VaR using non-parametric methods (kernel estimator) for portfolios characterized by heavy-tailed distributions. The evidence shows that the behavior of the changes of a portfolio’s return can be estimated in a more precise way since there is not assumption about the distribution, as in case of a normal distribution.

Suggested Citation

  • Zeballos, David, 2010. "Non-Parametric methods: An application for the risk measurement," MPRA Paper 46251, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46251
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/46251/1/MPRA_paper_46251.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Christian Andrew Johnson, 2000. "Métodos de Evaluación del Riesgo para Portafolios de Inversión," Working Papers Central Bank of Chile 67, Central Bank of Chile.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Christian A.Johnson, 2001. "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
    2. Johnson, Christian A., 2001. "Un modelo de intervención cambiaria," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(271), pages 339-367, julio-sep.
    3. Pinto, Cristian F. & Acuña, Andres A., 2011. "Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza [Consistency in the evaluation of financial investment perform," MPRA Paper 31301, University Library of Munich, Germany.

    More about this item

    Keywords

    Value at Risk; Non-parametric methods;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:46251. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.