Value at Risk Models inFinance

ArXiv ID: ssrn-356220 “View on arXiv”

Authors: Unknown

Abstract

The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to thei

Keywords: Value at Risk (VaR), Univariate methodologies, Performance evaluation, Risk Management

Complexity vs Empirical Score

• Math Complexity: 6.5/10
• Empirical Rigor: 8.0/10
• Quadrant: Holy Grail
• Why: The paper involves advanced econometrics (CAViaR, GARCH, EVT) and Monte Carlo simulations, indicating high math complexity; its extensive simulation study with specific data-generating processes and performance comparisons provides strong empirical rigor.

  flowchart TD
    A["Research Goal: Evaluate performance of popular univariate VaR models"] --> B["Data Input: Daily Financial Return Series"]
    B --> C["Methodology: VaR Model Application<br/>Parametric, Historical, Monte Carlo"]
    C --> D["Computational Process:<br/>Backtesting & Performance Metrics<br/>Kupiec Test, Traffic Lights, Loss Functions"]
    D --> E["Key Findings:<br/>Model Suitability & Accuracy Outcomes<br/>Performance Rankings"]