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Econometric modeling of value-at-risk

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

  • Stavros Degiannakis
  • T. Angelidis
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
Pages9-60
Number of pages52
ISBN (Print)1600215866
Publication statusPublished - 2008

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