Semiparametric estimation of Value at Risk

@inproceedings{Fan2002SemiparametricEO,
  title={Semiparametric estimation of Value at Risk},
  author={Jianqing Fan and Gu Juan Juan and Juan Gu},
  year={2002}
}
Value at Risk (VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities of the market prices of a portfolio. In addition, both parametric and… CONTINUE READING
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