The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F18%3APU128571" target="_blank" >RIV/00216305:26510/18:PU128571 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets

Popis výsledku v původním jazyce

The article concerns the problem of risk measurement related to the functioning of capital markets in Germany and Poland. This risk is related to the constantly progressing phenomenon of globalization of economies, which in turn results in a dynamic growth of links between financial markets. In connection with the issue of risk measurement, the attention of the authors is focused on determining the value of Value-at-Risk measure and testing the quality of the received estimates. The VaR measure is a useful risk assessment tool on the financial market due to its universality and methodology providing many tools for its assessment and testing. The purpose of the proposed article is to assess the quality of VaR measure estimates used to determine the market risk for DAX and WIG indices. The research was done for the years 2000-2012. The period was chosen deliberately as it covered the time of global financial crisis. For the quality evaluation, backtesting was used, where binominal tests LRuc, LRind, LRcc were applied.

Název v anglickém jazyce

The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets

Popis výsledku anglicky

The article concerns the problem of risk measurement related to the functioning of capital markets in Germany and Poland. This risk is related to the constantly progressing phenomenon of globalization of economies, which in turn results in a dynamic growth of links between financial markets. In connection with the issue of risk measurement, the attention of the authors is focused on determining the value of Value-at-Risk measure and testing the quality of the received estimates. The VaR measure is a useful risk assessment tool on the financial market due to its universality and methodology providing many tools for its assessment and testing. The purpose of the proposed article is to assess the quality of VaR measure estimates used to determine the market risk for DAX and WIG indices. The research was done for the years 2000-2012. The period was chosen deliberately as it covered the time of global financial crisis. For the quality evaluation, backtesting was used, where binominal tests LRuc, LRind, LRcc were applied.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Quantitative Methods in Economics, Multiple Criteria Decision Making XIX

ISBN

978-80-89962-07-5

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

390-397

Název nakladatele

The Slovak Society for Operations Research

Místo vydání

Bratislava

Místo konání akce

Trenčianske Teplice

Datum konání akce

23. 5. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000455265500052