RATING PARAMETRIC AND NONPARAMETRIC METHODS FOR ESTIMATING THE EXPECTED SHORTFALL AND VALUE AT RISK

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ROSTAMI MOHAMMADREZA; SARANJ ALIREZA; SAVARI ZOHA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: INVESTMENT KNOWLEDGE Year:2017 | Volume:6 | Issue:22 Page(s): 113-129

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Information Journal Paper

Title

RATING PARAMETRIC AND NONPARAMETRIC METHODS FOR ESTIMATING THE EXPECTED SHORTFALL AND VALUE AT RISK

Author(s)

ROSTAMI MOHAMMADREZA | SARANJ ALIREZA | SAVARI ZOHA | Issue Writer Certificate

Keywords

CHRISTOFFERSON TESTQ1

VALUE AT RISKQ1

EXPECTED SHORTFALLQ1

HISTORICAL SIMULATION AND PARAMETRIC MODELSQ1

Abstract

Financial market developments make it more important to measure market risks correctly. In this paper we investigatethe forecasting accuracy of different historical simulation models in relation to the risk measure EXPECTED SHORTFALL and in comparison to established parametric models.we used historical simulation, mirrored historical simulatin, volatility weighted historical simulation, filtered historical simulation and GARCH (1, 1) models. The data that we used consists of Tehran stock exchange market index from 2010 to 2014.Christofferson backtest used for VALUE AT RISK and mc neil & frey backtest used for EXPECTED SHORTFALL. According to unconditional coverage backtesting, mirrored historical simulation model was rejected and others were accepted and according to independence backtesting all models were accepted thus the christoferson backtest will omit the mirrored historical simulation model and According to mc neil and frey backtest all models were accepted and finally the model confidence set procedure showed that semi parametric models are best models to forecast EXPECTED SHORTFALL.

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APA: Copy

ROSTAMI, MOHAMMADREZA, SARANJ, ALIREZA, & SAVARI, ZOHA. (2017). RATING PARAMETRIC AND NONPARAMETRIC METHODS FOR ESTIMATING THE EXPECTED SHORTFALL AND VALUE AT RISK. INVESTMENT KNOWLEDGE, 6(22 ), 113-129. SID. https://sid.ir/paper/188190/en

Vancouver: Copy

ROSTAMI MOHAMMADREZA, SARANJ ALIREZA, SAVARI ZOHA. RATING PARAMETRIC AND NONPARAMETRIC METHODS FOR ESTIMATING THE EXPECTED SHORTFALL AND VALUE AT RISK. INVESTMENT KNOWLEDGE[Internet]. 2017;6(22 ):113-129. Available from: https://sid.ir/paper/188190/en

IEEE: Copy

MOHAMMADREZA ROSTAMI, ALIREZA SARANJ, and ZOHA SAVARI, “RATING PARAMETRIC AND NONPARAMETRIC METHODS FOR ESTIMATING THE EXPECTED SHORTFALL AND VALUE AT RISK,” INVESTMENT KNOWLEDGE, vol. 6, no. 22 , pp. 113–129, 2017, [Online]. Available: https://sid.ir/paper/188190/en

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