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We use stock market data to analyze the quality of alternative models and procedures for fore- casting expected shortfall (ES) at different significance levels. We compute ES forecasts from conditional models applied to the full distribution of [...]texto impreso
Garcia-Jorcano, Laura ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We introduce three dominance criteria to compare the performance of alternative VaR forecasting models. The three criteria use the information provided by a battery of VaR validation tests based on the frequency and size of exceedances, offering[...]texto impreso
Garcia-Jorcano, Laura | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We provide evidence suggesting that the assumption on the probability distribution for return in- novations is more influential for Value at Risk (VaR) performance than the conditional volatility specification. We also show that some recently pr[...]
