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Estimating Value at Risk With a Precision Measure by Combining Kernel Estimation with Historical Sim
Company: Review of Derivatives Research
Company Url: Click here to open
Year Of Publication: 1998
Month Of Publication: January
Pages: 371-390
Download Count: 1418
View Count: 10381
Comment Num: 0
Language: EN
Who Can Read: Free
Date: 9-2-2002
Publisher: Administrator
In this paper we propose an alternative way to implementthe historical simulation approach to Value-at-Risk (VaR) measurement, employing a non-parametric kernel quantile estimator (Sheather and Marron (1990)) of the probability density function (pdf) of the return portfolio. Then we derive an expression for the pdf of any order statistic of the return distribution. That pdf is not analytic, and we employ numerical integration to obtain the moments of the order statistic, the mean being the estimate of VaR, and the standard deviation allowing the construction of a confidence interval around the estimate. We apply this method to trading portfolios provided by a financial institution.
Butler, J. S. Sign in to follow this author
Schachter, Barry Sign in to follow this author
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