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Article Dans Une Revue Finance Année : 2015

A DARE for VaR

Christophe Hurlin
Patrick Kouontchou
Bertrand Maillet

Résumé

This paper introduces a new class of models for the Value-at-Risk (VaR) and Expected Shortfall (ES), called the Dynamic AutoRegressive Expectiles (DARE) models. Our approach is based on a weighted average of expectile-based VaR and ES models, i.e. the Conditional Autoregressive Expectile (CARE) models introduced by Taylor (2008a) and Kuan et al. (2009). First, we briefly present the main non-parametric, parametric and semi-parametric estimation methods for VaR and ES. Secondly, we detail the DARE approach and show how the expectiles can be used to estimate quantile risk measures. Thirdly, we use various backtesting tests to compare the DARE approach to other traditional methods for computing VaR forecasts on the French stock market. Finally, we evaluate the impact of several conditional weighting functions and determine the optimal weights in order to dynamically select the more relevant global quantile model.
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Dates et versions

hal-02312327 , version 1 (16-01-2020)

Identifiants

  • HAL Id : hal-02312327 , version 1

Citer

Benjamin Hamidi, Christophe Hurlin, Patrick Kouontchou, Bertrand Maillet. A DARE for VaR. Finance, 2015, 36 (1), 7-38 p. ⟨hal-02312327⟩

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