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Practical implications of higher moments in risk management

机译：更高时刻在风险管理中的实践意义

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摘要

In this paper the out-of-sample prediction of Value-at-Risk by means of models accounting for higher moments is studied. We consider models differing in terms of skewness and kurtosis and, in particular, the GARCHDSK model, which allows for constant and dynamic skewness and kurtosis. The issue of VaR prediction performance is approached first from a purely statistical viewpoint, studying the properties concerning correct coverage rates and independence of VaR violations. Then, financial implications of different VaR models, in terms of market risk capital requirements, as defined by the Basel Accord, are considered. Our results, based on the analysis of eight international stock indexes, highlight the presence of conditional skewness and kurtosis, in some case time-varying, and point out that asymmetry plays a significant role in risk management.
机译：本文研究了通过考虑较高矩的模型对风险价值进行样本外预测的方法。我们考虑在偏度和峰度方面不同的模型，尤其是GARCHDSK模型，该模型允许恒定和动态的偏度和峰度。首先从纯粹的统计角度探讨VaR预测性能的问题，研究有关正确覆盖率和违反VaR的独立性的属性。然后，根据《巴塞尔协议》所定义的市场风险资本要求，考虑了不同VaR模型的财务影响。基于对八种国际股票指数的分析，我们的结果强调了条件偏斜和峰度的存在，在某些情况下会随时间变化，并指出不对称性在风险管理中起着重要作用。

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