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dc.contributor.authorContreras, Patricioen_GB
dc.contributor.authorBhattacharjee, Arnaben_GB
dc.date.accessioned2004-06-16T16:05:37Z
dc.date.available2004-06-16T16:05:37Z
dc.date.created2003-11en_GB
dc.date.issued2004-06-16T16:05:37Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/380
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/380
dc.description.abstractThis study assesses the accuracy of the value-at-risk estimate (VaR). On the basis of posterior distributions of the unknown population parameters, we develop a confidence interval for VaR that reflects the genuine information available about the portfolios for which the VaR is calculated. This approach is more accurate than that in Dowd (2000) as it avoids explaining the behaviour of the population parameters on the basis of distributions of sample parameters. We find that the accuracy of both the confidence interval and the VaR estimate depend more dramatically on the sample size than what Dowd�s results suggest. In addition, we not only find that the impact of the confidence level and the holding period at which the VaR is predicated are negligible compared to that of the sample size (as in Dowd), but also that the confidence interval is far from being symmetric.en_GB
dc.format.extent158013 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectConfidence Interval
dc.subjectMonte-Carlo simulation
dc.subjectvalue-at-risk
dc.subjectBayesian Statistics
dc.subject.classificationClassification-JEL: C15, GOOen_GB
dc.titleA Bayesian Confidence Interval for Value-at-Risken_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5146


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