Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.15/582
Título: Value-at-risk model based on extreme value theory:comparison with other models under the basel accord
Autor: Santos, Paulo Araújo
Jiménez-Martin, Juan-Ángel
McAleer, Michael
Pérez Amaral, Teodosio
Palavras-chave: Daily capital
Basel II accord
EVT
GARCH
Riskmetrics model
Data: Jun-2011
Editora: International Institute of Forecasters
Citação: SANTOS, P. Araújo ; JIMÉNEZ-MARTIN, Juan-Ángel ; McALEER, Michael ; PÉREZ AMARAL, Teodosio - Value-at-risk model based on extreme value theory : comparison with other models under the basel accord. International Symposium on Forecasting, 31, Prague, 2011
Resumo: Since the Basel II accord, forecasting Value-at-Risk become a daily task of banks and other Authorized Deposit-taking Institutions (ADIs). These forecasts are used to determine capital requirements and associated capital costs of ADIs. Methods based on Extreme Value Theory (EVT) showed better performance in terms of unconditional coverage and independence in many comparative studies. In this work we compare, in terms of daily capital requirements and violation penalties under the Basel II accord, the performance of a new model based on the EVT, with other models based on EVT, GARCH-type models and the Riskmetrics model. We emphasize that with the indexes under study and taking into account the Basel penalty zones, we achieve much better results with this new model than with the well known Riskmetrics model.
Peer review: yes
URI: http://hdl.handle.net/10400.15/582
Versão do Editor: http://forecasters.org/conf-isf.html
Aparece nas colecções:Comunicações em conferências e congressos_ESGTS

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