Estimation of the Risk in Value at Risk

• Main Authors: Yi-Fang Wu, 吳一芳
• Other Authors: Yi-Ping Chang
• Format: Others
• Language: zh-TW
• Published: 2002
• Online Access: http://ndltd.ncl.edu.tw/handle/19544859390224179649

碩士 === 東吳大學 === 商用數學系 === 90 === Value at Risk (VaR) has become the standard tool used by many financial institutions to measure market risk. However, a VaR estimator may be affected by sample variation or estimation risk. Accordingly, the concept of risk in Value at Risk introduced by Jorion (1996) should be concerned. That is, we should cautiously look at the VaR and better use it with its confidence interval. After surveying several existing procedures proposed by Jorion (1996), Huschens (1997), and Ridder (1997), we propose a new way to measure the risk in Value at Risk in this paper. We compare their performances through Monte Carlo simulations and empirical works and find that the new method provides better accuracy and robustness in the estimation of the risk in VaR.