Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F12%3A43868044" target="_blank" >RIV/70883521:28120/12:43868044 - 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
Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II
Original language description
Banking legislature allows banks to use internal models to estimate risk metrics such a Value at Risk (VaR). These metrics indirectly determine regulatory capital needed to be held for different kinds of risks. The article aims to make a comparison of classic methods (historical simulation and bootstrap approach) allowed in Basel II framework to Extreme Value Theory. Influence of selected approach to resulting VaR is stressed. The problem is demonstrated on positively skewed data with extreme values that reflect nature of many financial processes. Our findings suggest alternative methods assess higher estimates of VaR than the accepted one and are more accurate in terms of estimator variance.
Czech name
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Czech description
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Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Advances in Finance and Accounting. Proceedings of the 1st WSEAS International Conference on Finance, Accounting and Auditing (FAA ´12)
ISBN
978-1-61804-124-1
ISSN
2227-460X
e-ISSN
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Number of pages
7
Pages from-to
68-74
Publisher name
WSEAS Press
Place of publication
Zlín
Event location
Zlín
Event date
Sep 20, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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