2008•e-Archivo (Carlos III University of Madrid)Open access

Measuring financial risk : comparison of alternative procedures to estimate VaR and ES

María Rosa Nieto, Esther Ruiz

Abstract

We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean and variance and the conditional distribution of returns. The results are illustrated by estimating the VaR and ES of daily S&P500 returns.

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Key concepts: Expected shortfall, Value at risk, Econometrics, Estimator, Variance (accounting), Conditional variance, Economics, Conditional expectation