Extreme value approach value approach for estimating value at risk metrics with respect to Basel II

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Extreme value approach value approach for estimating value at risk metrics with respect to Basel II

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Extreme value approach value approach for estimating value at risk metrics with respect to Basel II

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

International Journal of Mathematics and Computers in Simulations

ISSN

1998-0159

e-ISSN

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Svazek periodika

7

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

8

Strana od-do

171-178

Kód UT WoS článku

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EID výsledku v databázi Scopus

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