Pilar Abad is an Associate Professor in the Department of Economic Theory at the University Rey Juan Carlos. She was previously an Associate Professor at the University of Vigo (2000-2004) and at the University of Barcelona (2004-2008). She holds a PhD in Quantitative Economy from the University Complutense of Madrid. She has published in refereed journals such as the Journal of Banking and Finance, the European Journal of Finance, Mathematics and Computers in Simulation, the Journal of Business Finance and Accounting and the Applied Financial Economics as well as in professional volumes. She has presented her work at different international conferences. Her current areas of interest are on applied econometrics, financial risk and international finance.
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
This paper models the tail behavior of daily returns and forecasting VaR in order to evaluate the performance of several skewed and symmetric distributions.