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Value-at-risk model based on extreme value theory:comparison with other models under the basel accord
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Daily capital Basel II accord EVT GARCH Riskmetrics model
Contexto Educativo
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
Editora
International Institute of Forecasters