Nonparametric forward-looking value-at-risk
This paper proposes a new model for computing value-at-risk forecasts. The model is fully nonparametric and easy to implement. Further, it incorporates information about the market's perceived uncertainty about the future. The forward-looking information is obtained from the option market via the Chicago Board Options Exchange's implied volatility index (VIX). Using S&P 500 data from 1990 to 2
