Advances in Finance and Accounting
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F12%3A43868614" target="_blank" >RIV/70883521:28120/12:43868614 - 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
Advances in Finance and Accounting
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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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Advances in Environment, Biotechnology and Biomedicine
ISBN
978-1-61804-122-7
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
68-74
Publisher name
WSEAS Press
Place of publication
Praha
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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