Advancing Risk Management with GAS-1F: Value at Risk and Expected Shortfall Estimation

Author: Fevi Novkaniza, Irene Patricia Wibowo, Rahmat Al Kafi
Informations
JournalInternational Journal on Advanced Science, Engineering and Information Technology (IJASEIT)
PublisherINSIGHT, Insight Society
Volume & IssueVol. 15,Issue No.3
Publication Year2025
ISSN20885334
Source TypeGoogle Scholar
Abstract
Abstract Value at Risk (VaR) and Expected Shortfall (ES) are critical metrics for quantifying financial risk. VaR estimates the maximum potential loss within a specific timeframe, while ES captures the average loss that exceeds the VaR threshold. Accurate estimation of these risk measures is vital for financial institutions; however, traditional methods often falter in addressing the dynamic volatility of financial data. This study explores the One-Factor Generalized Autoregressive Score (GAS-1F) semiparametric model, a novel approach that incorporates elicitability into its score function to circumvent distributional assumptions. Elicitability guarantees alignment between the estimated loss function and the true underlying risk measure. The GAS-1F model excels as a two-tiered, semiparametric framework for estimating VaR and ES. By applying this model to historical data from the S& P 500 index, we demonstrate its …
Documents & Links

© 2025 Universitas Indonesia. All rights reserved.