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q-fin.RM2021
A Method for Predicting VaR by Aggregating Generalized Distributions Driven by the Dynamic Conditional Score
Shijia Song, Handong Li
Constructing a more effective value at risk (VaR) prediction model has long been a goal in financial risk management. In this paper, we propose a novel parametric approach and prov…
q-fin.RM2021
Value-at-Risk forecasting model based on normal inverse Gaussian distribution driven by dynamic conditional score
Shijia Song, Handong Li
Under the framework of dynamic conditional score, we propose a parametric forecasting model for Value-at-Risk based on the normal inverse Gaussian distribution (Hereinafter NIG-DCS…