- Autor
- Górka Joanna (Nicolaus Copernicus University in Toruń, Poland)
- Tytuł
- Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
Zastosowanie modeli klasy Sign RCA do wyznaczenia wybranych miar zagrożenia - Źródło
- Dynamic Econometric Models, 2009, vol. 9, s. 39-49, tab., bibliogr. 15 poz.
- Słowa kluczowe
- Miernik ryzyka (VaR), Ocena ryzyka, Szacowanie ryzyka
VaR method, Risk assessment, Risk estimating - Uwagi
- summ., streszcz.
- Abstrakt
- W finansach bardzo ważne jest aby dokładnie ocenić ryzyko. Istnieje wiele metod szacowania ryzyka jednak żadna z istniejących już metod nie jest najlepsza. W niniejszym artykule, do wyznaczenie takich miar ryzyka jak Value at Risk (VaR) i Expected Shortfall (ES) zastosowano modele klasy Sign RCA Obliczone zostały jednookresowe prognozy VaR oraz ES dla ostatnich 500 obserwacji z wykorzystaniem modeli oszacowanych w oknach na podstawie prób wielkości 250, 500 i 1500 obserwacji. Otrzymane wyniki zweryfikowano wykorzystując testowanie wsteczne oraz funkcje strat. (abstrakt oryginalny)
Accurate modelling of risk is very important in finance. There are many alternative risk measures, however none of them is dominating. This paper proposes to use the family of Sign RCA models to obtain the Value-at-Risk (VaR) and Expected Shortfall (ES) measures. For models from the family of Sign RCA models and AR-GARCH model the one-step forecasts of VaR were calculated based on rolling estimates from the given model using different window sizes. To obtain the VaR and ES measures the filtered historical simulation was used in new version proposed by Christoffersen. The results were verified using backtesting and the loss function. (original abstract) - Dostępne w
- Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
- Acerbi, C., Tasche, D. (2002), Expected Shortfall: A Natural Coherent Alternative to Value at Risk, Economic Notes, 31, 379-388.
- Angelidis, T., Degiannakis, S. (2006), Backtesting VaR Models: An Expected Shortfall Approach, Working Paper Series, http://econpapers.repec.org/paper/crtwpaper/0701.htm (2.09.2009).
- Appadoo, S., Thavaneswaran, A., Singh J. (2006), RCA Models with Correlated Errors Applied Mathematics Letters, 19, 824-829.
- Aue, A. (2004), Strong Approximation for RCA(1) Time Series with Applications, Statistics & Probability Letters, 68, 369-382.
- Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, 307-327.
- Christoffersen, P. F. (2009), Value-at-Risk Models, in Andersen, T. G., Davis, R. A., Kreiss, J.-P., Mikosch, T. (ed.), Handbook of Financial Time Series, Springer Verlag.
- Dowd, K. (2002), Measuring Market Risk, John Wiley & Sons, ltd.
- Engle, R. F. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 987-1006.
- Górka, J. (2008), Description the kurtosis of distributions by selected models with sing function, Dynamic Econometric Models, vol.8, Toruń
- Nicholls, D., Quinn, B. (1982), Random Coefficient Autoregressive Models: An Introduction, Springer, New York.
- Thavaneswaran, A., Appadoo, S. (2006), Properties of a New Family of Volatility Sing Models, Computers and Mathematics with Applications, 52, 809-818.
- Thavaneswaran, A., Appadoo, S., Bector, C. (2006), Recent Developments in Volatility Modeling and Application, Journal of Applied Mathematics and Decision Sciences, 1-23.
- Thavaneswaran, A., Peiris, S., Appadoo, S. (2008), Random Coefficient Volatility Models, Statistics & Probability Letters, 78, 582-593.
- Thavaneswaran, S., Appadoo, S., i Ghahramani, M. (2009), RCA models with GARCH innovations, Applied Mathematics Letters, 22, 110-114.
- Yamai, Y., Yoshiba, T. (2002), Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition and Optimization, Monetary and Economic Studies, 20(1), 87-121.
- Cytowane przez
- ISSN
- 1234-3862
- Język
- eng
- URI / DOI
- http://dx.doi.org/10.12775/DEM.2009.004
