A comprehensive evaluation of value-at-risk models and a comparison of their performance in emerging markets

摘要

This paper aims to evaluate the performance of different value-at-risk (VaR) calculation methods, allowing us to identify models that are valid for use in emerging markets. We apply several widely used methods for calculating VaR, including both parametric and nonparametric methods. We consider different confidence levels for the VaR as well as different sample sizes. To test our models' validity, we use both unconditional and conditional coverage backtests. In addition, we use a ranking method (which entails a backtesting approach based on the regulatory loss function) to appropriately compare the VaR calculation methods.