A Semi-Parametric Method for Estimating Value at Risk

摘要：

In risk management, the VaR methodology as a measure of market risk has gained fast acceptance and popularity in both institutions and regulators. We propose a semi-parametric method for estimating Value at Risk (VaR). Our approach combines HS method to estimate the interior and the extreme value theory to estimate the tails. This approach is backtested for financial data at different confidence level. The results of the backtesting indicate that our approach is an adequate risk measure.

关键词： VaR HS The extreme value theory Semi-Parametric Method

作者: Zhang xiangxian

作者单位: School of Management, Donghua University, Shanghai.P.R. China Institute of Management Science & Engineering, HeNan University, HeNan, P.R. China

会议类型: 国际会议

会议名称: 2010 International Conference on Information Technology and Industrial Engineering(2010年信息技术与工业工程国际学术会议 ITIE 2010)

会议地点: 武汉

会议语种:英文

页码: 514-518

在线出版日期: 2010-06-06（万方平台首次上网日期，不代表论文的发表时间）