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Forecasting Value-at-Risk with a Duration Based POT Method
Year Of Publication: 2011
Month Of Publication: March
Pages: 26
Download Count: 13
View Count: 1708
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-26-2011
Publisher: Administrator
Summary
Threshold methods, based on fitting a stochastic model to the excesses over a threshold, were developed under the acronym POT (peaks over threshold). In order to eliminate the tendency to clustering of violations, a model based approach within the POT framework, that uses the durations between excesses as covariates, is proposed. Based on this approach, models for forecasting one-day-ahead Value-at-Risk were suggested and applied to real data. Comparative studies provide evidence that they can perform better than state-of-the art risk models and much better than the widely used RiskMetrics model, both in terms of out-of-sample accuracy and under the Basel II Accord.
This document is published in Mathematics and Computers in Simulation.
http://dx.doi.org/10.1016/j.matcom.2012.07.016
Author(s)
Santos, Paulo Araujo Sign in to follow this author
Alves, Maria Isabel Fraga Sign in to follow this author
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