This project is a continuation of Problem Set I in computing increasingly renedrisk measures and evaluating their Out-Of-Sample performance. Let IS and OOSbe the In-Sample and Out-Of-Sample periods, respectively.Part A1. For the best IS specications 1-3, 4-6 and 7-9 of Problem Set I produce OOS1-period-ahead forecasts of the 5%, 1% and 0.1% VaRs using:i. Extreme Value Theoryii. Filtered Historical Simulationsiii. Filtered Weighted Historical Simulations2. Produce OOS 1-period-ahead forecasts of the 5%, 1% and 0.1% VaRs using:iv. Historical Simulationsv. Weighted Historical Simulations3. Backtest your VaR forecasts i.-v. performing Unconditional Coverage Testingand Independence Hypothesis Testing.Part B1. Produce OOS 20-, 60- and 120-periods-ahead forecasts of the 5%, 1% and0.1% VaRs for i.-v. and the Gaussian case of Problem Set I.2. Backtest the 20-, 60- and 120-periods-ahead VaR forecasts.Part C1. Produce OOS 1-period-ahead forecasts of the Expected Shortfall for i.-v.2. Backtest the Expected Shortfall forecasts.ReportOnce you have completed the empirical analysis prepare a technical report dis-cussing and interpreting your ndings. You should comment, among others, on: the performance of the various approaches to VaR the performance of the various approaches to Expected Shortfall the sensitivity of the two risk measures to the specication/modeling of theconditional distribution
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