Publication detail

Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets

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

Original Title

Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets

Type

conference paper

Language

English

Original Abstract

The paper concentrates on the problem of proper application of Value-at-Risk. The measure enables to quantify the level of risk, which is related to dynamic increase in the interdependences between whole economies or given markets, especially including financial markets. The problems of risk measurement become especially important during crisis situation, where after occurrence of a particular shock, one can expect successive, often unpredictable shocks, which are very difficult to predict. In this context, the article objective is to assess the quality of Value at Risk measure for measuring risk in the United States and German capital markets. The market of United States was chosen as it is the most developed market of global economy. On the other hand, the German capital markets is the most important market for continental Europe. VaR quality assessment was carried out through the application of backtesting. For this purpose, the results of the binomial LRuc, LRind, LRc tests have been subjected to the interpretation. The analysis was carried out in the period 2000-2012, where the GARCH model with conditional t-student distribution was used to estimate the VaR value.

Keywords

Value-at-Risk, Backtesting, Juc test, Jcc test, Jind test

Authors

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

Released

1. 11. 2018

Publisher

MELANDRIUM

Location

Prague

ISBN

978-80-87990-14-8

Book

The 12th International Days of Statistics and Economics - Conference Proceedings

Edition number

1.

Pages from

2054

Pages to

2063

Pages count

10

URL

https://msed.vse.cz/msed_2018/sbornik/introduction.html

BibTex

@inproceedings{BUT151241,
  author="Marek {Zinecker} and Marcin {Fałdziński} and Tomáš {Meluzín} and Michał Bernard {Pietrzak} and Adam Przemyslaw {Balcerzak}",
  title="Application of Tests JUC, JCC and JIND for Checking the Correctness of the Value-at-Risk - an Example of United States and German Capital Markets",
  booktitle="The 12th International Days of Statistics and Economics - Conference Proceedings",
  year="2018",
  number="1.",
  pages="2054--2063",
  publisher="MELANDRIUM",
  address="Prague",
  isbn="978-80-87990-14-8",
  url="https://msed.vse.cz/msed_2018/sbornik/introduction.html"
}