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beata
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Posts: 28
Joined: April 15th, 2004, 12:27 pm

Article of Paul Kupiec on VaR

May 6th, 2004, 12:18 pm

I am looking into the article of Paul Kupiec “Stress Testing in the Value at Risk Framework”. It showed up in Journal of Derivatives in 1998.I am wondering whether I can apply Kupiec’s methodology for credit portfolio. And maybe someone already has done something like this. If you know an article where someone tried to apply Kupiec’s method for credit VaR, don’t hesitate to let me know.Maybe you have your own thoughts on this regard; it would be interesting to hear some new ideas.B.
 
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kr
Posts: 1885
Joined: September 27th, 2002, 1:19 pm

Article of Paul Kupiec on VaR

May 6th, 2004, 12:54 pm

yes, I used this thing for credit VaR, but there's nothing really novel about that workit's been a couple of years, but what I recall is that the VaR most people use is too tail-y to get decent statistical power with this kind of thing... overall I don't really approve of the direction that VaR has been taken. It's a little like the way CAPM "evolved"... the theory is kind of nice but there are so many problems with practical implementation that the better practitioners just start over with their own ad-hoc methodology. Unfortunately, VaR is tied up with regulatory issues now, so you still have to jump through the hoop even if you think it's dumb.
 
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beata
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Posts: 28
Joined: April 15th, 2004, 12:27 pm

Article of Paul Kupiec on VaR

May 6th, 2004, 1:17 pm

So I already know that this is at least doable!Could you refer me to some paper, or is it the matter or sitting down and figuring out yourself how things will work e.g. for creditmetrics?
 
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RealIllusion
Posts: 22
Joined: November 13th, 2003, 12:41 pm

Article of Paul Kupiec on VaR

October 26th, 2005, 1:23 pm

I'm also trying to get hold of Kupiec's 1995 paper, which doesn't seem to be downloadable from the web. Can anyone help? Would be much appreciated
 
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conocieur
Posts: 28
Joined: December 4th, 2004, 5:28 pm

Article of Paul Kupiec on VaR

November 11th, 2005, 12:58 am

if you still need the articles just send me a pm and i will email them to you
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