Non-Parametric Future Looking Value-at-Risk

15 Pages Posted: 5 Feb 2011 Last revised: 27 Feb 2011

See all articles by Anders Vilhelmsson

Anders Vilhelmsson

Lund University - Department of Economics

Marcus Nossman

Lund University

Date Written: February 4, 2011

Abstract

This paper proposes a new model for computing Value-at-Risk forecasts. The model is fully non-parametric and easy to implement. Further, it incorporates information about the markets perceived uncertainty about the future. The future looking information is obtained from the option market via CBOEs implied volatility index VIX. Using SP500 data from 1990-2010 we find that the new model compares favorably to extant models in terms of its forecast performance.

Keywords: Value-at-Risk, Non-Parametric, Implicit Volatility, VIX

JEL Classification: C14, C53, G17, G32

Suggested Citation

Vilhelmsson, Anders and Nossman, Marcus, Non-Parametric Future Looking Value-at-Risk (February 4, 2011). Available at SSRN: https://ssrn.com/abstract=1754930 or http://dx.doi.org/10.2139/ssrn.1754930

Anders Vilhelmsson (Contact Author)

Lund University - Department of Economics ( email )

Lund
Sweden

Marcus Nossman

Lund University ( email )

Box 117
Lund, SC Skane S221 00
Sweden

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