Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F18%3APU129756" target="_blank" >RIV/00216305:26510/18:PU129756 - isvavai.cz</a>
Result on the web
<a href="https://msed.vse.cz/msed_2018/sbornik/introduction.html" target="_blank" >https://msed.vse.cz/msed_2018/sbornik/introduction.html</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets
Original language description
The paper concentrates on the problem of proper application of Value-at-Risk. The measure enables to quantify the level of risk, which is related to dynamic increase in the interdependences between whole economies or given markets, especially including financial markets. The problems of risk measurement become especially important during crisis situation, where after occurrence of a particular shock, one can expect successive, often unpredictable shocks, which are very difficult to predict. In this context, the article objective is to assess the quality of Value at Risk measure for measuring risk in the United States and German capital markets. The market of United States was chosen as it is the most developed market of global economy. On the other hand, the German capital markets is the most important market for continental Europe. VaR quality assessment was carried out through the application of backtesting. For this purpose, the results of the binomial LRuc, LRind, LRc tests have been subjected to the interpretation. The analysis was carried out in the period 2000-2012, where the GARCH model with conditional t-student distribution was used to estimate the VaR value.
Czech name
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Czech description
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Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The 12th International Days of Statistics and Economics - Conference Proceedings
ISBN
978-80-87990-14-8
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
2054-2063
Publisher name
MELANDRIUM
Place of publication
Prague
Event location
Praha
Event date
Sep 6, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000455809400204

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