A comparison of some univariate models for Value-at-Risk and expected shortfall
نویسندگان
چکیده
We compare in a backtesting study the performance of univariate models for Value-at-Risk (VaR) and expected shortfall based on stable laws and on extreme value theory (EVT). Analyzing these different approaches, we are able to test if the sum–stability assumption or the max–stability assumption, that respectively imply α–stable laws and Generalized Extreme Value (GEV) distributions, is more suitable for risk management based on VaR and expected shortfall. Our numerical results indicate that α–stable laws outperform EVT-based risk measures, especially those obtained by the so-called block maxima method.
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