We propose a semi-parametric method for unconditional Value-at-Risk (VaR) evaluation. The largest risks are modelled parametrically, while smaller risks are captured by the non-parametric empirical distribution function. A comparison of methods on a portfolio of stock and option returns reveals that at the 5 % level the RiskMetrics analysis is best, but for predictions of low probability worst outcomes, it strongly underpredicts the VaR while the semi-parametric method is the most accurate.

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hdl.handle.net/1765/12394
France. Institut National de la Statistique et des Etudes Economiques. Annales d'Economie et de Statistique
Erasmus School of Economics

Daníelsson, J, & de Vries, C.G. (2000). Value-at-risk and extreme returns. France. Institut National de la Statistique et des Etudes Economiques. Annales d'Economie et de Statistique, 239–270. Retrieved from http://hdl.handle.net/1765/12394