Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/329620 
Year of Publication: 
2022
Citation: 
[Journal:] ACRN Journal of Finance and Risk Perspectives (JOFRP) [ISSN:] 2305-7394 [Volume:] 11 [Year:] 2022 [Pages:] 79-104
Publisher: 
ACRN Oxford Research Network, Oxford
Abstract: 
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.
Subjects: 
Expected shortfall
Value at Risk
APARCH model
Backtesting
Skewed distributions
JEL: 
C13
C58
G11
G15
G1
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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