The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Estimation of VaR and Expected Shortfall for Stock Returns

주식수익률의 VaR와 ES 추정: GARCH 모형과 GPD를 이용한 방법을 중심으로

  • Kim, Ji-Hyun (Department of Statistics and Actuarial Science, Soongsil University) ;
  • Park, Hwa-Young (Department of Statistics and Actuarial Science, Soongsil University)
  • 김지현 (숭실대학교 정보통계보험수리학과) ;
  • 박화영 (숭실대학교 정보통계보험수리학과)
  • Received : 20100500
  • Accepted : 20100600
  • Published : 2010.08.31
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Abstract

Various estimators of two risk measures of a specific financial portfolio, Value-at-Risk and Expected Shortfall, are compared for each case of 1-day and 10-day horizons. We use the Korea Composite Stock Price Index data of 20-year period including the year 2008 of the global financial crisis. Indexes of five foreign stock markets are also used for the empirical comparison study. The estimator considering both the heavy tail of loss distribution and the conditional heteroscedasticity of time series is of main concern, while other standard and new estimators are considered too. We investigate which estimator is best for the Korean stock market and which one shows the best overall performance.

금융 포트폴리오의 두 위험측도인 VaR와 ES에 대한 여러 추정방법을 1일 후와 10일 후의 경우로 나누어 각각 비교하였다. 2008년 미국발 세계 금융위기 기간을 포함한 KOSPI 자료와 해외 5개국의 종합주가지수 자료를 이용하여 실증적으로 비교하였다. 손실 분포의 두터운 꼬리와 조건부 이분산성을 동시에 고려하는 방법을 중심으로 여러 방법을 추가적으로 고려하였고, 국내 자료에 어떤 방법이 적절하며 종합적인 성능은 어떤가를 살펴보았다.

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References

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