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- Regulation
- Extreme value theory
- Risk
- Market microstructure
- Financial Crisis
- Systemic risk
- March 2013Does Risk Forecasting Help Macroprudential Policy Makers
- October 2012Procyclical Leverage and Endogenous Risk
- September 2012Regime Switches in Volatility and Correlation of Financial Institutions
- May 2012Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
- March 2012Fat Tails, VaR and Subadditivity
- November 2011Model Risk of Systemic Risk Models
- August 2011Endogenous and Systemic Risk
- August 2011Endogenous Extreme Events and the Dual Role of Prices
- April 2011Exchange Rate Determination and Inter Market Order Flow Effects
- February 2011Robust Forecasting of Dynamic Conditional Correlation GARCH Models
- July 2010Liquidity determination in an order driven market
- March 2010On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
- July 2009Risk Appetite and Endogenous Risk
- October 2008Blame the models
- June 2008Consistent Measures of Risk
- June 2008Feedback Trading
- August 2007Optimal Portfolio Allocation Under the Probabilistic Risk Constraint and Incentives for Financial Innovation
- May 2007Regulating Hedge Funds
- February 2007Equilibrium Asset Pricing with Systemic Risk
- February 2007Currency Crises, (Hidden) Linkages, and Volume
- November 2005Subadditivity Re-Examined: the Case for Value-at-Risk
- November 2005Comparing Downside Risk Measures for Heavy Tailed Distributions
- September 2005Highwaymen or Heroes: Should Hedge Funds be Regulated?
- August 2005On time-scaling of risk and the square-root-of-time rule
- August 2005Countercyclical Capital and Currency Dependence
- October 2004Anatomy of a market crash: A market microstructure Analysis of the Turkish Overnight Liquidity Crisis
- May 2003Regulation Incentives for Risk Management in Incomplete Markets
- May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
- February 2003On time-scaling of risk and the square-root-of-time rule
- September 2002Endogenous Risk
- September 2002On the Feasibility of Risk Based Regulation
- August 2002The impact of risk regulation on price dynamics
- February 2002Where do Extremes Matter?
- October 2001Incentives for Effective Risk Management
- June 2001An Academic Response to Basel II
- June 2001The Emperor has no Clothes: Limits to Risk Modelling
- June 2000The Cost of Conservatism: Extreme Returns, Value-at-Risk, and the Basle `Multiplication Factor'
- June 2000Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
- May 2000Value-at-Risk and Extreme Returns
- March 2013Does Risk Forecasting Help Macroprudential Policy Makers
- October 2012Procyclical Leverage and Endogenous Risk
- August 2011Endogenous Extreme Events and the Dual Role of Prices
- October 2008Blame the models
- May 2007Regulating Hedge Funds
- September 2005Highwaymen or Heroes: Should Hedge Funds be Regulated?
- August 2005On time-scaling of risk and the square-root-of-time rule
- August 2005Countercyclical Capital and Currency Dependence
- May 2003Regulation Incentives for Risk Management in Incomplete Markets
- May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
- September 2002Endogenous Risk
- September 2002On the Feasibility of Risk Based Regulation
- August 2002The impact of risk regulation on price dynamics
- June 2001An Academic Response to Basel II
- June 2001The Emperor has no Clothes: Limits to Risk Modelling
- June 2000The Cost of Conservatism: Extreme Returns, Value-at-Risk, and the Basle `Multiplication Factor'
- March 2012Fat Tails, VaR and Subadditivity
- August 2011Endogenous Extreme Events and the Dual Role of Prices
- November 2005Subadditivity Re-Examined: the Case for Value-at-Risk
- November 2005Comparing Downside Risk Measures for Heavy Tailed Distributions
- February 2002Where do Extremes Matter?
- June 2000Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
- May 2000Value-at-Risk and Extreme Returns
- March 2013Does Risk Forecasting Help Macroprudential Policy Makers
- September 2012Regime Switches in Volatility and Correlation of Financial Institutions
- March 2012Fat Tails, VaR and Subadditivity
- November 2011Model Risk of Systemic Risk Models
- August 2011Endogenous Extreme Events and the Dual Role of Prices
- February 2011Robust Forecasting of Dynamic Conditional Correlation GARCH Models
- March 2010On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
- October 2008Blame the models
- June 2008Consistent Measures of Risk
- August 2007Optimal Portfolio Allocation Under the Probabilistic Risk Constraint and Incentives for Financial Innovation
- February 2007Equilibrium Asset Pricing with Systemic Risk
- February 2007Currency Crises, (Hidden) Linkages, and Volume
- November 2005Subadditivity Re-Examined: the Case for Value-at-Risk
- November 2005Comparing Downside Risk Measures for Heavy Tailed Distributions
- September 2005Highwaymen or Heroes: Should Hedge Funds be Regulated?
- August 2005On time-scaling of risk and the square-root-of-time rule
- August 2005Countercyclical Capital and Currency Dependence
- May 2003Regulation Incentives for Risk Management in Incomplete Markets
- May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
- September 2002Endogenous Risk
- September 2002On the Feasibility of Risk Based Regulation
- August 2002The impact of risk regulation on price dynamics
- October 2001Incentives for Effective Risk Management
- June 2001An Academic Response to Basel II
- June 2001The Emperor has no Clothes: Limits to Risk Modelling
- June 2000The Cost of Conservatism: Extreme Returns, Value-at-Risk, and the Basle `Multiplication Factor'
- May 2000Value-at-Risk and Extreme Returns
- August 2011Endogenous Extreme Events and the Dual Role of Prices
- March 2010On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
- July 2009Risk Appetite and Endogenous Risk
- February 2007Currency Crises, (Hidden) Linkages, and Volume
- August 2005On time-scaling of risk and the square-root-of-time rule
- August 2005Countercyclical Capital and Currency Dependence
- October 2004Anatomy of a market crash: A market microstructure Analysis of the Turkish Overnight Liquidity Crisis
- May 2003What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
- September 2002Endogenous Risk
- August 2002The impact of risk regulation on price dynamics
- March 2013Does Risk Forecasting Help Macroprudential Policy Makers
- October 2012Procyclical Leverage and Endogenous Risk
- May 2012Systemic risk arising from computer based trading and connections to the empirical literature on systemic risk
- November 2011Model Risk of Systemic Risk Models
- August 2011Endogenous and Systemic Risk
Value-at-Risk and Extreme Returns
Jon Danielsson and Casper de Vries
May 2000
Accurate prediction of the frequency of extreme events is of primary importance in many financial applications such as Value--at--Risk (VaR) analysis. We propose a semi--parametric method for VaR evaluation. The largest risks are modelled parametrically, while smaller risks are captured by the non--parametric empirical distribution function. The semi--parametric method is compared with historical simulation and the J. P. Morgan RiskMetrics technique on a portfolio of stock returns. For predictions of low probability worst outcomes, RiskMetrics analysis underpredicts the VaR while historical simulation overpredicts the VaR. However, the estimates obtained from applying the semi--parametric method are more accurate in the VaR prediction. In addition we study the role of an option that lowers the downside risk of the portfolio.