Ranking of VaR and ES models: performance in developed and emerging markets

0396091 - NHÚ 2014 RIV CZ eng J - Článek v odborném periodiku
Žiković, S. - Filer, Randall K.
Ranking of VaR and ES models: performance in developed and emerging markets.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 63, č. 4 (2013), s. 327-359. ISSN 0015-1920. E-ISSN 0015-1920
Institucionální podpora: RVO:67985998
Klíčová slova: ranking * value at risk * expected shortfall
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.358, rok: 2013
http://journal.fsv.cuni.cz/storage/1279_327-359-filer.pdf

There is an inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models since we are measuring only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of different models.
Trvalý link: http://hdl.handle.net/11104/0224093