What is the value of value-at-risk after all?: A conditional approach using quantile regressions

Detalhes bibliográficos
Autor(a) principal: Peixoto, Carla Sofia Nobre
Data de Publicação: 2009
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/9475
Resumo: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
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spelling What is the value of value-at-risk after all?: A conditional approach using quantile regressionsValue-at-riskConditional approachQuantile regressionOut-of-sample forecastingA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn this Work Project, I propose a new approach to VaR estimation based on quantile regressions which does not require any distributional assumptions. I assume that there exist some state variables that capture persistent changes in risk. This methodology intends to solve the problem of lack of conditionality in VaR models and to capture volatility clustering where existing VaR models currently fail. I compare the out-of-sample performance of existing methods in predicting daily VaR for the S&P 500. I conclude that none of the methodologies developed so far produce satisfactory results in timing unexpected increases in market volatility. Moreover, alternative out-of-sample evaluation techniques yield to opposite results regarding the best VaR model. Nonetheless, in general, the GARCH model outperforms all the remaining models.NSBE - UNLSanta-Clara, PedroRUNPeixoto, Carla Sofia Nobre2013-05-07T10:23:40Z2009-062009-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9475enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:42:34Zoai:run.unl.pt:10362/9475Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:18:51.228770Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv What is the value of value-at-risk after all?: A conditional approach using quantile regressions
title What is the value of value-at-risk after all?: A conditional approach using quantile regressions
spellingShingle What is the value of value-at-risk after all?: A conditional approach using quantile regressions
Peixoto, Carla Sofia Nobre
Value-at-risk
Conditional approach
Quantile regression
Out-of-sample forecasting
title_short What is the value of value-at-risk after all?: A conditional approach using quantile regressions
title_full What is the value of value-at-risk after all?: A conditional approach using quantile regressions
title_fullStr What is the value of value-at-risk after all?: A conditional approach using quantile regressions
title_full_unstemmed What is the value of value-at-risk after all?: A conditional approach using quantile regressions
title_sort What is the value of value-at-risk after all?: A conditional approach using quantile regressions
author Peixoto, Carla Sofia Nobre
author_facet Peixoto, Carla Sofia Nobre
author_role author
dc.contributor.none.fl_str_mv Santa-Clara, Pedro
RUN
dc.contributor.author.fl_str_mv Peixoto, Carla Sofia Nobre
dc.subject.por.fl_str_mv Value-at-risk
Conditional approach
Quantile regression
Out-of-sample forecasting
topic Value-at-risk
Conditional approach
Quantile regression
Out-of-sample forecasting
description A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
publishDate 2009
dc.date.none.fl_str_mv 2009-06
2009-06-01T00:00:00Z
2013-05-07T10:23:40Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/9475
url http://hdl.handle.net/10362/9475
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv NSBE - UNL
publisher.none.fl_str_mv NSBE - UNL
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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