Alternative Approaches for Estimating Value at Risk

Abstract

In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting procedures examining the performance of the alternative VaR models appointed that the estimations under Cornish-Fisher expansion are more consistent for the financial asset returns frequently possessing fat tails and asymmetric distributionValue-at-Risk, APGARCH, Expected Shortfall, Cornish-Fisher Expansion, Backtesting