Title:

Review of Value at Risk estimation methods

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Title in english:

Research Papers of Wrocław University of Economics

Creator:

Stefaniak, Radosław

Subject and Keywords:

value at risk ; estimation ; backtesting ; investment portfolio ; wartość zagrożona ; estymacja ; testy wsteczne ; ryzyko całkowite ; portfel inwestycyjny

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics, 2018, Nr 519, s. 173-183

Abstrakt:

On a daily basis, managers in risk management teams use a number of methods to manage various types of risk. One of the most popular methods of measuring market risk is Value at Risk. Estimation of Value at Risk gives a possibility to determine a loss, which can occur or can be exceeded with a given probability and tolerance level. Moreover, this measure of risk shows in just one number entire risk of the portfolio. In addition, various methods and probability distributions can be used to estimate Value at Risk. A goal of this paper is the evaluation of Value at Risk estimation methods on the basis of backtesting results. In the empirical part, the data for 4 investment portfolios was used. The portfolios were diversified in terms of geographic location of firms that were taken into consideration

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2018

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/pn.2018.519.14

Language:

eng

Relation:

Wrocław Conference in Finance: Contemporary Trends and Challenges ; Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2018; Nr 519

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu