Improving the value at risk forecasts: Theory and evidence from the financial crisis
Improving the value at risk forecasts: Theory and evidence from the financial crisis
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DOI：
10.1016/j.jedc.2011.10.005
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发表时间：
2012-08-01
影响因子：
1.9
通讯作者：
Pohlmeier, Winfried
中科院分区：
文献类型：
--
作者：
Halbleib, Roxana;Pohlmeier, Winfried
最近的金融危机提出了许多关于风险价值（VaR）作为量化极端损失的工具的准确性的问题。在本文中，我们开发的数据驱动的风险价值方法，是基于最佳组合的原则，并提供强大的和精确的风险价值预测的时期，他们是最需要的，如最近的金融危机。在一个全面的比较研究中，我们提供了最新的经验证据，对广泛的标准风险值方法的性能，并强调了新开发的方法的整体优于。(C)2012爱思唯尔有限公司版权所有。
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we develop data-driven VaR approaches that are based on the principle of optimal combination and that provide robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis. Within a comprehensive comparative study we provide the latest piece of empirical evidence on the performance of a wide range of standard VaR approaches and highlight the overall outperformance of the newly developed methods. (C) 2012 Elsevier B.V. All rights reserved.