Kilic, Ekrem (2006): Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio.
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Financial crisis those we have been experienced during last two decades encouraged the efforts of both academicians and the market participants to develop clear representations of the risk exposure of a �nancial institute. As a useful tool for measuring market risk of a portfolio, Value-at-Risk has emerged as the standard. However, there are several alternative Value-at-Risk implementations which may pro- duce signi�cantly di¤erent Value-at-Risk forecasts. Thus, evaluation of Value-at-Risk forecasts is as crucial as VaR itself. In this paper I will use the methodology which has described by Christoffersen and Pelletier and I extended the methodology to create duration based analogous of unconditional coverage, conditional coverage and inde- pendence tests. I evaluated 14 Value-at-Risk implementation by using a Turkish Market portfolio which contain foreing currency, stock and bonds.
|Item Type:||MPRA Paper|
|Institution:||Finecus Financial Software and Consultancy|
|Original Title:||Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio|
|Keywords:||Value-at-Risk; model evaluation; conditional cover- age; duration based coverage testing|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
|Depositing User:||Ekrem Kilic|
|Date Deposited:||06. Nov 2007|
|Last Modified:||12. Feb 2013 17:50|
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