Template-type: ReDIF-Paper 1.0
Author-Name: Pilar Abad Romero
Author-Person: pab62 
Author-Homepage: http://pabad.webs.uvigo.es/
Author-Workplace-Name: Universidad Rey Juan Carlos, Paseo Artilleros s/n, 28032 Madrid, Spain and RFA-IREA. 
Author-Workplace-Homepage: https://www.urjc.es/
Author-Name: Sonia Benito Muela
Author-Workplace-Name: Universidad Nacional de Educación a Distancia (UNED) Senda del Rey 11 28223, Madrid, Spain. 
Author-Name: Miguel Angel Sánchez Granero 
Author-Workplace-Name: Universidad de Almería, Crta. Sacramento s/n Almería, Spain. 
Author-Name: Carmen López 
Author-Workplace-Name: Universidad Nacional de Educación a Distancia (UNED) 
Title: Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial Crisis
Abstract: This paper evaluates the performance of several skewed and symmetric distributions in modeling the tail behavior of daily 
	returns and forecasting Value at Risk (VaR). First, we used some goodness of fit tests to analyze which distribution best fits 
	the data. The comparisons in terms of VaR have been carried out examining the accuracy of the VaR estimate and minimizing the 
	loss function from the point of view of the regulator and the firm. The results show that the skewed distributions outperform 
	the normal and Student-t (ST) distribution in fitting portfolio returns. Following a two-stage selection process, whereby we 
	initially ensure that the distributions provide accurate VaR estimates and then, focusing on the firm´s loss function, we can 
	conclude that skewed distributions outperform the normal and ST distribution in forecasting VaR. From the point of view of the 
	regulator, the superiority of the skewed distributions related to ST is not so evident. As the firms are free to choose the VaR 
	model they use to forecast VaR, in practice, skewed distributions will be more frequently used.

Keywords: Value at Risk, Parametric model, Skewness t-Generalised Distribution, GARCH Model, Risk Management, Loss function. 
Note: This work has been funded by the Spanish Ministerio de Ciencia y Tecnología (ECO2009-10398/ECON and ECO2011-23959).

Length: 21 pages 
Creation-Date: 2013 
Number: 2013-40 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1340.txt
File-URL: https://eprints.ucm.es/id/eprint/23999/1/1340.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1340