dc.description.abstract | VaR(Value at Risk) is a method of assessing risk that uses standard statistical techniques routinely used in other technical fields. In this thesis, we focus on finding the characteristics of hybrid approach proposed in Boudokh,
Richardson and Whitelaw (1998) which is a nonparametric approach for estimating VaR. Under some regular conditions, we prove that the resulting
estimator is not consistent. We then propose a modified approach, which is called the modified hybrid approach, to increase its precision. We also demonstrate the pros and cons of the hybrid approach and modified hybrid approach by using some evaluation criteria under various different models and some empirical datas. | en |
dc.description.tableofcontents | 1 Introduction ......................................1
2 VaR Methodologies .................................4
2.1 Risk Metrics ....................................4
2.2 Historical Simulation ...........................5
2.3 Extreme Value Theory Approach ...................6
3 Hybrid Approach and Its Properties ................9
3.1 The Estimate Based on Hybrid Approach ...........9
3.2 Inconsistency of Hybrid Estimator ..............10
3.2.1 Natural Bound of Hybrid Estimator ............10
3.2.2 Maximal of (r1,r2,...,rK1) and Inconsistency..11
3.3 A Modi.ed Hybrid Estimator .....................11
4 Two Evaluation Criteria ..........................13
5 Performance Analysis under Three Different Models.15
5.1 Stochastic Volatility Models ...................15
5.2 Integrated GARCH(1,1) Models ...................17
5.3 Stochastic Volatility Models with Structural Breaks..18
5.4 Summary ........................................19
6 Empirical Results ................................20
7 Conclusion .......................................25
8 Appendix .........................................26
8.1 Appendix A .....................................26
8.2 Appendix B .....................................27
8.3 Appendix C .....................................30
8.4 Appendix D: Tables .............................32
8.4.1 Simulation Results ...........................32
8.4.2 Empirical Results ............................44
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