Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 734: A Corrected Value-at-Risk Predictor

Carl Lönnbark ()
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Carl Lönnbark: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

Abstract: In this note it is argued that the estimation error in Value-at-Risk predictors gives rise to underestimation of portfolio risk. We propose a simple correction and find in an empirical illustration that it is economically relevant.

Keywords: Estimation Error; Finance; Garch; Prediction; Risk Management

JEL-codes: C32; C51; C53; G10

8 pages, March 26, 2008

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