Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/329620 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] ACRN Journal of Finance and Risk Perspectives (JOFRP) [ISSN:] 2305-7394 [Volume:] 11 [Year:] 2022 [Pages:] 79-104
Verlag: 
ACRN Oxford Research Network, Oxford
Zusammenfassung: 
Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.
Schlagwörter: 
Expected shortfall
Value at Risk
APARCH model
Backtesting
Skewed distributions
JEL: 
C13
C58
G11
G15
G1
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-sa Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
980.3 kB





Publikationen in EconStor sind urheberrechtlich geschützt.