Publication detail

The Use of Backtesting in Assessment of the Value-at-Risk on Unites States, Great Britain and German Capital Markets

MELUZÍN, T. FAŁDZIŃSKI, M. PIETRZAK, M. BALCERZAK, A. ZINECKER, M.

Original Title

The Use of Backtesting in Assessment of the Value-at-Risk on Unites States, Great Britain and German Capital Markets

Type

conference paper

Language

English

Original Abstract

For many years, a progressive globalization process has been observed, which translates into an increase in interdependencies between world economies. This growing level of interdependence affects the functioning of economies significantly. The greatest impact of mutual connections can be observed on the world capital markets. Therefore, the issue of the identification and measurement of market risk becomes an important problem related to the functioning of capital markets. Value at Risk is a metric that allows the risk of loss for selected assets to be assessed. The research objective of this article is to assess the quality of Value at Risk applied to measure the risk of the DJIA, DAX, and FTSE stock indices. The VaR estimation was carried out in the time period 2000-2012, where the DCC-GARCH model with the conditional Student’s t-distribution was used. To evaluate VaR quality, the backtesting procedure was used, within which we used the Juc, Jind, and Jcc tests.

Keywords

macroeconomics, capital market, value-at-risk, backtesting, DCC-GARCH model, conditional variance

Authors

MELUZÍN, T.; FAŁDZIŃSKI, M.; PIETRZAK, M.; BALCERZAK, A.; ZINECKER, M.

Released

7. 9. 2018

Publisher

Masaryk University

Location

Brno

ISBN

978-80-210-8981-5

Book

European Financial Systems 2018. Proceedings of the 15th International Scientific Conference

Edition number

1.

Pages from

395

Pages to

401

Pages count

7

BibTex

@inproceedings{BUT149713,
  author="Tomáš {Meluzín} and Marcin {Fałdziński} and Michał Bernard {Pietrzak} and Adam Przemyslaw {Balcerzak} and Marek {Zinecker}",
  title="The Use of Backtesting in Assessment of the Value-at-Risk on Unites States, Great Britain and German Capital Markets",
  booktitle="European Financial Systems 2018. Proceedings of the 15th International Scientific Conference",
  year="2018",
  number="1.",
  pages="395--401",
  publisher="Masaryk University",
  address="Brno",
  isbn="978-80-210-8981-5"
}