Research Article
Local Likelihood Density Estimation and Value-at-Risk
Table 1
Computation of the VaR.
| | Parametric | Semi-parametric | Nonparametric |
| i.i.d. | Gaussian | tail model building | historical simulation | | approach | (advisory firms) | (regulators) |
| Serial | IGARCH by J. P. Morgan | | CaViar | Dependence | DAQ | |
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