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ESTIMATING VALUE-AT-RISK BASED ON NON-NORMAL DISTRIBUTIONS

CBU International Conference on Innovation in Science and Education

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Field Value
 
Title ESTIMATING VALUE-AT-RISK BASED ON NON-NORMAL DISTRIBUTIONS
 
Creator Bohdalová, Mária; Faculty of Management, Comenius University in Bratislava
Greguš, Michal; Faculty of Management, Comenius University in Bratislava
 
Subject Value at Risk, leptokurtic distribution, skewed distribution, normal mixture distribution, Monte Carlo simulation
 
Description The article presents a comparative study of parametric linear value-at-risk (VaR) models used for estimating the risk of financial portfolios. We illustrate how to adjust VaR for auto-correlation in portfolio returns. The article presents static and dynamic methodology to compute VaR, based on the assumption that daily changes are independent and identically distributed (normal or non-normal) or auto-correlated in terms of the risk factor dynamics. We estimate the parametric linear VaR over a risk horizon of 1 day and 10 days at 99% and 95% confidence levels for the same data. We compare the parametric VaR and a VaR obtained using Monte Carlo simulations with historical simulations and use the maximum likelihood method to calibrate the distribution parameters of our risk factors. The study investigated whether the parametric linear VaR applies to contemporary risk factor analysis and pertained to selected foreign rates.
 
Publisher Central Bohemia University, o.p.s.
 
Contributor This research was supported by a VUB grant, no. 2015-3-02/5 “Development of the theory and application of stochastic analysis of financial markets to the current problems of business practice (AMSAFT).”
 
Date 2015-09-19
 
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/601
10.12955/cbup.v3.601
 
Source CBU International Conference Proceedings; Vol 3 (2015): CBU International Conference Proceedings 2015; 188-195
1805-9961
1805-997X
 
Language eng
 
Relation http://ojs.journals.cz/index.php/CBUConference2013/article/view/601/555
 
Rights Copyright (c) 2015 Mária Bohdalová, Michal Greguš
https://creativecommons.org/licenses/by/3.0/