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The Use of Backtesting in Assessment of the Value-at-Risk on Unites States, Great Britain and German 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%3APU128901" target="_blank" >RIV/00216305:26510/18:PU128901 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Use of Backtesting in Assessment of the Value-at-Risk on Unites States, Great Britain and German Capital Markets

  • Original language description

    For many years, a progressive globalization process has been observed, which translates into an increase in interdependencies between world economies. This growing level of interdependence affects the functioning of economies significantly. The greatest impact of mutual connections can be observed on the world capital markets. Therefore, the issue of the identification and measurement of market risk becomes an important problem related to the functioning of capital markets. Value at Risk is a metric that allows the risk of loss for selected assets to be assessed. The research objective of this article is to assess the quality of Value at Risk applied to measure the risk of the DJIA, DAX, and FTSE stock indices. The VaR estimation was carried out in the time period 2000-2012, where the DCC-GARCH model with the conditional Student’s t-distribution was used. To evaluate VaR quality, the backtesting procedure was used, within which we used the Juc, Jind, and Jcc tests.

  • 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

    European Financial Systems 2018. Proceedings of the 15th International Scientific Conference

  • ISBN

    978-80-210-8981-5

  • ISSN

  • e-ISSN

  • Number of pages

    7

  • Pages from-to

    395-401

  • Publisher name

    Masaryk University

  • Place of publication

    Brno

  • Event location

    Brno

  • Event date

    Jun 25, 2018

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000462948800051