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On the economic costs of value at risk forecasts

Miazhynskaia, Tatiana and Dockner, Engelbert J. and Dorffner, Georg (2003) On the economic costs of value at risk forecasts. Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 85. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

We specify a class of non-linear and non-Gaussian models for which we estimate and forecast the conditional distributions with daily frequency. We use these forecasts to calculate VaR measures for three different equity markets (US, GB and Japan). These forecasts are evaluated on the basis of different statistical performance measures as well as on the basis of their economic costs that go along with the forecasted capital requirements. The results indicate that different performance measures generate different rankings of the models even within one financial market. We also find that for the three markets the improvement in the forecast by non-linear models over linear ones is negligible, while non-gaussian models significantly dominate the gaussian models. (author's abstract)

Item Type: Paper
Keywords: neural network models / Value-at-Risk / capital requirement
Classification Codes: JEL C32, C45, C52
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Marketing > Service Marketing und Tourismus
Depositing User: Repository Administrator
Date Deposited: 11 Nov 2003 15:41
Last Modified: 16 Jun 2011 10:36
URI: http://epub.wu.ac.at/id/eprint/190

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