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Comparing Value-at-Risk Methodologies

Brazilian Review of Econometrics

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Title Comparing Value-at-Risk Methodologies
Comparing Value-at-Risk Methodologies
 
Creator Lima, Luiz Renato
Néri, Breno Pinheiro
 
Description In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust methodologies have higher probability of predicting V aRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate V aR for returns of S˜ao Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.
In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust methodologies have higher probability of predicting V aRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate V aR for returns of S˜ao Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.
 
Publisher Sociedade Brasileira de Econometria
 
Date 2007-05-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
 
Format application/pdf
application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1570
10.12660/bre.v27n12007.1570
 
Source Brazilian Review of Econometrics; Vol. 27 No. 1 (2007); 1-25
Brazilian Review of Econometrics; v. 27 n. 1 (2007); 1-25
1980-2447
 
Language eng
por
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1570/1010
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/1570/1011