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An Assessment of Value-at-Rsk (VaR) and Expected Tail Loss under a Stress Testing Framework for Turkish Stock Market
Year Of Publication: 2006
Month Of Publication: May
Pages: 13
Download Count: 6
View Count: 1419
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 2-19-2012
Publisher: Administrator
Summary
This paper investigates various methods of Value-at-Risk (VaR) and Expected Tail Loss (ETL) estimation for the Turkish stock market under a stress-testing framework, in which implausible but probable scenarios are generated by the three major economic downturns that affected Turkey in 1994, 1998 and 2001. For each period and for each method, out of sample forecasts are backtested via Basel's backtesting procedure and Kupiec's Proportion of Failure Test.
The results show that ETL is a superior risk measure than VaR, additionally among the methods used for variance-covariance methodology, the best performance is achieved when conditional volatility is modeled as GARCH (1,1) with Generalized Error Distribution. Moreover, as a non-parametric approach, Filtered Historical Simulation (FHS) method performs even better than some parametric methods.
Author(s)
Kücüközmen, C. Coskun Sign in to follow this author
Altay, Sühan Sign in to follow this author
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