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Abstract
The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws. In the process, we show that the Historical Simulation method and its variants can be considered as special cases of the CAViaR framework developed by Engle and Manganelli (1999). We also provide two original methodological contributions. The first one introduces the extreme value theory into the CAViaR model. The second one concerns the estimation of the expected shortfall (the expected loss, given that the return exceeded the VaR) using a regression technique. The performance of the models surveyed in the paper is evaluated using a Monte Carlo simulation. We generate data using GARCH processes with different distributions and compare the estimated quantiles to the true ones. The results show that CAViaR models perform best with heavy-tailed DGP. ....

Monetary Policy Stance Division , Financial Research Division , European Central Bank , Head Of Division , Market Operations Analysis Division , Research Division , Directorate General Research , European Central , Policy Stance Division , Directorate General Economics , Operations Analysis Division , Directorate General Market Operations , பண பாலிஸீ நிலைப்பாடு பிரிவு , நிதி ஆராய்ச்சி பிரிவு , ஐரோப்பிய மைய வங்கி , தலை ஆஃப் பிரிவு , ஆராய்ச்சி பிரிவு , இயக்குநரகம் ஜநரல் ஆராய்ச்சி , ஐரோப்பிய மைய , பாலிஸீ நிலைப்பாடு பிரிவு , இயக்குநரகம் ஜநரல் பொருளாதாரம் , செயல்பாடுகள் பகுப்பாய்வு பிரிவு ,