A comparison of market risk measures from a twofold perspective: accurate and loss function

Benito Muela, Sonia, López Martin, Carmen y Arguedas-Sanz, Raquel . (2023) A comparison of market risk measures from a twofold perspective: accurate and loss function. ACRN Journal of Finance and Risk Perspectives, 11 (2022) 79-104

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Título A comparison of market risk measures from a twofold perspective: accurate and loss function
Autor(es) Benito Muela, Sonia
López Martin, Carmen
Arguedas-Sanz, Raquel
Materia(s) Economía
Abstract Under the new regulation based on Basel solvency framework, known as Basel III and Basel IV, financial institutions must calculate the market risk capital requirements based on the Expected Shortfall (ES) measure, replacing the Value at Risk (VaR) measure. In the financial literature, there are many papers dedicated to compare VaR approaches but there are few studies focusing in comparing ES approaches. To cover this gap, we have carried out a comprenhensive comparative of VaR and ES models applied to IBEX-35 stock index. The comparison has been carried out from a twofold perspective: accurate risk measure and loss functions. The results indicate that the method based on the conditional Extreme Value Theory (EVT) is the best in estimating market risk, outperforming Parametric method and Filter Historical Simulation.
Editor(es) Elsevier
Fecha 2023-06-04
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0006
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0006
DOI - identifier https://doi.org/10.35944/jofrp.2022.11.1.005
ISSN - identifier 2305-7394
Nombre de la revista ACRN Journal of Finance and Risk Perspectives
Número de Volumen 11
Página inicial 79
Página final 104
Publicado en la Revista ACRN Journal of Finance and Risk Perspectives, 11 (2022) 79-104
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The published version of this article, first published in ACRN Journal of Finance and Risk Perspectives , is available online at the publisher's website: Elsevier https://doi.org/10.35944/jofrp.2022.11.1.005
Notas adicionales La versión publicada de este artículo, publicado por primera vez en ACRN Journal of Finance and Risk Perspectives , está disponible en línea en el sitio web del editor: Elsevier https://doi.org/10.35944/jofrp.2022.11.1.005

 
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Creado: Mon, 18 Dec 2023, 22:07:04 CET