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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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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
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e-ISSN
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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