oaioai:CiteSeerX.psu:10.1.1.575.3848

Violation Duration As A Better Way of VaR Model Evaluation: Evidence From Turkish Market Portfolio

Abstract

Financial crisis those we have been experienced during last two decades encouraged the e¤orts 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\u85cantly 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 Christo¤ersen and Pelletier[6] 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. JEL:C5

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oaioai:CiteSeerX.psu:10.1.1.575.3848Last time updated on 10/29/2017

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