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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

  • DOI - Digital Object Identifier

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

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    AE - Management, administration and clerical work

  • OECD FORD branch

Result continuities

  • Project

  • 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

  • e-ISSN

  • 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