Extreme value approach value approach for estimating value at risk metrics with respect to Basel II
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F13%3A43869908" target="_blank" >RIV/70883521:28120/13:43869908 - 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
Extreme value approach value approach for estimating value at risk metrics with respect to Basel II
Original language description
A large number of articles have been written about methods designed to assess easily interpretable value reflecting risk taken from a (not exclusively financial) process. In the financial environment, prevailing concepts include Value at Risk (VaR) and its derivatives, such as Conditional Value at Risk. The purpose of this paper is to describe appropriateness of the VaR metrics under Basel II legislative framework and to stress VaR estimation techniques. A relatively new approach titled Extreme Value Theory and methods allowed by Basel II are compared on illustrative example of a skewed distribution with presence of outliers. Our findings suggest alternative methods assess higher VaR than the classical ones (historical simulation, mean-variance model and Monte Carlo simulation) and are more precise in terms of variance.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Journal of Mathematics and Computers in Simulations
ISSN
1998-0159
e-ISSN
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Volume of the periodical
7
Issue of the periodical within the volume
2
Country of publishing house
GB - UNITED KINGDOM
Number of pages
8
Pages from-to
171-178
UT code for WoS article
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EID of the result in the Scopus database
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