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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: 1799
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-26-2011
Publisher: Administrator
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.
Santos, Paulo Araujo Sign in to follow this author
Alves, Maria Isabel Fraga Sign in to follow this author
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