Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F18%3APU129756" target="_blank" >RIV/00216305:26510/18:PU129756 - isvavai.cz</a>

Výsledek na webu

<a href="https://msed.vse.cz/msed_2018/sbornik/introduction.html" target="_blank" >https://msed.vse.cz/msed_2018/sbornik/introduction.html</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets

Popis výsledku v původním jazyce

The paper concentrates on the problem of proper application of Value-at-Risk. The measure enables to quantify the level of risk, which is related to dynamic increase in the interdependences between whole economies or given markets, especially including financial markets. The problems of risk measurement become especially important during crisis situation, where after occurrence of a particular shock, one can expect successive, often unpredictable shocks, which are very difficult to predict. In this context, the article objective is to assess the quality of Value at Risk measure for measuring risk in the United States and German capital markets. The market of United States was chosen as it is the most developed market of global economy. On the other hand, the German capital markets is the most important market for continental Europe. VaR quality assessment was carried out through the application of backtesting. For this purpose, the results of the binomial LRuc, LRind, LRc tests have been subjected to the interpretation. The analysis was carried out in the period 2000-2012, where the GARCH model with conditional t-student distribution was used to estimate the VaR value.

Název v anglickém jazyce

Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets

Popis výsledku anglicky

The paper concentrates on the problem of proper application of Value-at-Risk. The measure enables to quantify the level of risk, which is related to dynamic increase in the interdependences between whole economies or given markets, especially including financial markets. The problems of risk measurement become especially important during crisis situation, where after occurrence of a particular shock, one can expect successive, often unpredictable shocks, which are very difficult to predict. In this context, the article objective is to assess the quality of Value at Risk measure for measuring risk in the United States and German capital markets. The market of United States was chosen as it is the most developed market of global economy. On the other hand, the German capital markets is the most important market for continental Europe. VaR quality assessment was carried out through the application of backtesting. For this purpose, the results of the binomial LRuc, LRind, LRc tests have been subjected to the interpretation. The analysis was carried out in the period 2000-2012, where the GARCH model with conditional t-student distribution was used to estimate the VaR value.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

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

The 12th International Days of Statistics and Economics - Conference Proceedings

ISBN

978-80-87990-14-8

ISSN

—

e-ISSN

—

Počet stran výsledku

10

Strana od-do

2054-2063

Název nakladatele

MELANDRIUM

Místo vydání

Prague

Místo konání akce

Praha

Datum konání akce

6. 9. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000455809400204