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http://hdl.handle.net/2123/8163
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| Title: | The Two-sided Weibull Distribution and Forecasting Financial Tail Risk |
| Authors: | Gerlach, Richard Chen, Qian Discipline of Business Analytics |
| Keywords: | Two-sided Weibull Value-at-Risk Expected shortfall Back-testing global financial crisis volatility |
| Issue Date: | Jan-2011 |
| Publisher: | Business Analytics |
| Series/Report no.: | OMEWP 01/2011 |
| Abstract: | A two-sided Weibull is developed to model the conditional financial return distribution, for the purpose of forecasting Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility specifications to forecast tail risk in four international markets, two exchange rates and one individual asset series, over a four year forecast period that includes the recent global financial crisis. The two-sided Weibull performs at least as well as other distributions for VaR forecasting, but performs most favourably for conditional Value at Risk forecasting, prior to as well as during and after the recent crisis. |
| URI: | http://hdl.handle.net/2123/8163 |
| Department/Unit/Centre: | Discipline of Business Analytics |
| Appears in Collections: | Working Papers - Business Analytics |
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