Value at Risk Models inFinance
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"]