A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10049955" target="_blank" >RIV/00216208:11230/10:10049955 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy
Original language description
In this paper we compare the most prominent nonparametric, parametric and semi-parametric Value-at-Risk (VaR) models for two portfolios ? one long and the other short on the Prague Stock Exchange (PX) index. In the nonparametric class we investigate thehistorical simulation and the weighted historical simulation methods. Out of the various parametric approaches that have been proposed in the literature, we examine the GARCH-type models. In the semi-parametric category we focus on the filtered historical simulation method and models based on the extreme value theory.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F08%2F0004" target="_blank" >GA402/08/0004: Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Book/collection name
Advanced measurement techniques for market and operational risk
ISBN
978-80-246-1871-5
Number of pages of the result
57
Pages from-to
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Number of pages of the book
262
Publisher name
Karolinum
Place of publication
Prague
UT code for WoS chapter
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