The effectiveness of Value-at-Risk models in various volatility regimes
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- Pourkhanali, Armin & Tafakori, Laleh & Bee, Marco, 2023. "Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect," International Review of Financial Analysis, Elsevier, vol. 89(C).
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More about this item
Keywords
risk management; market risk; Value-at-risk; GARCH; Historical Simulation; Risk Metrics®; risk modelling; benchmark; model quality assessment;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2022-12-12 (Risk Management)
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