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The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F18%3APU128571" target="_blank" >RIV/00216305:26510/18:PU128571 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets

  • Original language description

    The article concerns the problem of risk measurement related to the functioning of capital markets in Germany and Poland. This risk is related to the constantly progressing phenomenon of globalization of economies, which in turn results in a dynamic growth of links between financial markets. In connection with the issue of risk measurement, the attention of the authors is focused on determining the value of Value-at-Risk measure and testing the quality of the received estimates. The VaR measure is a useful risk assessment tool on the financial market due to its universality and methodology providing many tools for its assessment and testing. The purpose of the proposed article is to assess the quality of VaR measure estimates used to determine the market risk for DAX and WIG indices. The research was done for the years 2000-2012. The period was chosen deliberately as it covered the time of global financial crisis. For the quality evaluation, backtesting was used, where binominal tests LRuc, LRind, LRcc were applied.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50202 - Applied Economics, Econometrics

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2018

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Quantitative Methods in Economics, Multiple Criteria Decision Making XIX

  • ISBN

    978-80-89962-07-5

  • ISSN

  • e-ISSN

  • Number of pages

    8

  • Pages from-to

    390-397

  • Publisher name

    The Slovak Society for Operations Research

  • Place of publication

    Bratislava

  • Event location

    Trenčianske Teplice

  • Event date

    May 23, 2018

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000455265500052