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MELUZÍN, T. FAŁDZIŃSKI, M. PIETRZAK, M. BALCERZAK, A. ZINECKER, M.
Originální název
The Use of Backtesting in Assessment of the Value-at-Risk on Unites States, Great Britain and German Capital Markets
Typ
článek ve sborníku ve WoS nebo Scopus
Jazyk
angličtina
Originální abstrakt
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.
Klíčová slova
macroeconomics, capital market, value-at-risk, backtesting, DCC-GARCH model, conditional variance
Autoři
MELUZÍN, T.; FAŁDZIŃSKI, M.; PIETRZAK, M.; BALCERZAK, A.; ZINECKER, M.
Vydáno
7. 9. 2018
Nakladatel
Masaryk University
Místo
Brno
ISBN
978-80-210-8981-5
Kniha
European Financial Systems 2018. Proceedings of the 15th International Scientific Conference
Číslo edice
1.
Strany od
395
Strany do
401
Strany počet
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" }