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VaR BASED RISK MANAGEMENT

CBU International Conference on Innovation in Science and Education

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Field Value
 
Title VaR BASED RISK MANAGEMENT
 
Creator Bohdalová, Mária; Comenius University in Bratislava
Greguš, Michal; Comenius University in Bratislava
 
Description In this paper we discuss the Value–at–Risk concept and we analyse the market risk by using EWMA approach. EWMA (exponentially weighted moving average) forecasting technique is a popular measure of various risks in financial risk management. We will compare standard EWMA, robust EWMA and skewed EWMA forecast of VaR. JP Morgan standard EWMA is derived from Gaussian distribution. Robust EWMA is based on Laplace distribution and skewed EWMA is a new approach derived from an asymmetric Laplace distribution. Asymmetric Laplace distribution takes into account both skewness and heavy tails in return distribution and the time varying nature of them in practice. Skewed EWMA VaR is a generalization of the standard EWMA method. Using these approaches we will analyse selected financial series (three European market indexes and one exchange rate). We have found andconfirmed that skewed EWMA forecasting of VaR outperforms the standard EWMA method.
 
Publisher Central Bohemia University, o.p.s.
 
Contributor The work on this paper has been supported by VEGA grant agency, grant number 1/0279/11.
 
Date 2013-06-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://ojs.journals.cz/index.php/CBUConference2013/article/view/11
10.12955/cbup.2013.11
 
Source CBU International Conference Proceedings; Vol 1 (2013): CBU International Conference Proceedings 2013; pp. 25-33
1805-9961
1805-997X
 
Language eng
 
Relation http://ojs.journals.cz/index.php/CBUConference2013/article/view/11/13
 
Rights Copyright (c) 2013 Mária Bohdalová, Michal Greguš
https://creativecommons.org/licenses/by/3.0/