VaR Evaluation of Bank Por fot lio ─ Conservativeness , Accuracy and Efficiency

anks have ent of VaR lio return. set returns are typically found to be fat-tail distributed. The VaR estimators based on the normal f the risk. ted power ibution of Taiwan, ment of a dress the ing results demonstrate that, due to the flexibility of the power parameters of the conditional tailedness the asset return distributions. Most of the family of EWMA estimators based on power exponential distribution outperforms those VaR estimators that are based on the normal distribution, and offers an appropriate coverage of the extreme risk.