VaR performance during the subprime and sovereign debt crises: An application to emerging markets

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dc.citation.epage41
dc.citation.journalTitleEmerging Markets Revieweng
dc.citation.spage23
dc.citation.volume20
dc.contributor.affiliationaculty of Economics and Business, Department of Business, University of Salamanca, Spainspa
dc.contributor.affiliationSchool of Economics and Finance, Department of Finance, EAFIT University, Colombiaspa
dc.contributor.affiliationFaculty of Economics and Business, Department of Economics, University of Salamanca, Spainspa
dc.contributor.authorB. Del Brio, Estherspa
dc.contributor.authorMora-Valencia, Andrésspa
dc.contributor.authorPerote, Javierspa
dc.contributor.departmentEconomía y Finanzasspa
dc.contributor.departmentFinanzasspa
dc.contributor.programGrupo de Investigación Finanzas y Bancaspa
dc.date2014
dc.date.accessioned2015-11-06T21:15:35Z
dc.date.available2015-11-06T21:15:35Z
dc.date.issued2014
dc.description.abstractHighly volatile scenarios, such as those provoked by the recent subprime and sovereign debt crises, have questioned the accuracy of current risk forecasting methods. This paper adds fuel to this debate by comparing the performance of alternative specifications for modeling the returns filtered by an ARMA-GARCH: Parametric distributions (Student's t and skewed-t), the extreme value theory (EVT), semi-nonparametric methods based on the Gram–Charlier (GC) expansion and the normal (benchmark). We implement backtesting techniques for the pre-crisis and crisis periods for stock index returns and a hedge fund of emerging markets. Our results show that the Student's t fails to forecast VaR during the crisis, while the EVT and GC accurately capture market risk, the latter representing important savings in terms of efficient regulatory capital provisions.eng
dc.identifier.doidoi:10.1016/j.ememar.2014.05.001
dc.identifier.issn1566-0141
dc.identifier.urihttp://hdl.handle.net/10784/7617
dc.language.isoengeng
dc.publisherElseviereng
dc.relation.ispartofEmerging Markets Review. Vol. 20, 2014, pp.23-41spa
dc.relation.isversionofhttp://www.sciencedirect.com/science/article/pii/S1566014114000223
dc.relation.urihttp://www.sciencedirect.com/science/article/pii/S1566014114000223
dc.rightsrestrictedAccesseng
dc.rightsCopyright © 2015 Elsevier B.V. or its licensors or contributors. ScienceDirect® is a registered trademark of Elsevier B.V.spa
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccesseng
dc.rights.localAcceso restringidospa
dc.sourceEmerging Markets Review. Vol. 20, 2014, pp.23-41spa
dc.subject.keywordValue-at-riskeng
dc.subject.keywordBacktestingeng
dc.subject.keywordSkewed Student's teng
dc.subject.keywordExtreme value theoryeng
dc.subject.keywordGram–Charlier expansioneng
dc.subject.keywordHedge fundseng
dc.titleVaR performance during the subprime and sovereign debt crises: An application to emerging marketseng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.type.hasVersionObra publicadaspa
dc.type.localArtículospa

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