Model vs. Market - A comparison of VaR and ES estimation for sector ETFs using model based IGARCH and market implied volatility in the VWHS framework
Tail risk metrics such as VaR and, especially ES are and have become of great importance to both investors and financial institutions such as banks in determining their amount of loss absorbing capital given the Basel framework. Estimating these metrics have become trivial, but to do it accurately while also taking market conditions such as periods of market stress into account still presents chal
