Econometric modeling of value-at-risk

Stavros Degiannakis, T. Angelidis

    Research output: Chapter in Book/Report/Conference proceedingChapter (peer-reviewed)peer-review


    Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimize the forecast error. This chapter provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.
    Original languageEnglish
    Title of host publicationNew Econometric Modelling Research
    EditorsW. Toggins
    Place of PublicationNew York
    PublisherNova Science Publishers
    Number of pages52
    ISBN (Print)1600215866
    Publication statusPublished - 2008


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