Detail publikace

The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets

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

Originální název

The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

The article concerns the problem of risk measurement related to the functioning of capital markets in Germany and Poland. This risk is related to the constantly progressing phenomenon of globalization of economies, which in turn results in a dynamic growth of links between financial markets. In connection with the issue of risk measurement, the attention of the authors is focused on determining the value of Value-at-Risk measure and testing the quality of the received estimates. The VaR measure is a useful risk assessment tool on the financial market due to its universality and methodology providing many tools for its assessment and testing. The purpose of the proposed article is to assess the quality of VaR measure estimates used to determine the market risk for DAX and WIG indices. The research was done for the years 2000-2012. The period was chosen deliberately as it covered the time of global financial crisis. For the quality evaluation, backtesting was used, where binominal tests LRuc, LRind, LRcc were applied.

Klíčová slova

Value-at-Risk, backtesting, LRuc test, LRind test, LRcc test

Autoři

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

Vydáno

2. 5. 2018

Nakladatel

The Slovak Society for Operations Research

Místo

Bratislava

ISBN

978-80-89962-07-5

Kniha

Quantitative Methods in Economics, Multiple Criteria Decision Making XIX

Edice

Proceedings of the International Scientific Conference, 23rd May - 25th May 2018

Číslo edice

1

Strany od

390

Strany do

397

Strany počet

8

BibTex

@inproceedings{BUT149052,
  author="Marek {Zinecker} and Tomáš {Meluzín} and Marcin {Fałdziński} and Adam Przemyslaw {Balcerzak} and Michał Bernard {Pietrzak}",
  title="The Use of Backtesting Binominal Tests in Assesment of the Value-At-Risk On German And Polish Capital Markets",
  booktitle="Quantitative Methods in Economics, Multiple Criteria Decision Making XIX",
  year="2018",
  series="Proceedings of the International Scientific Conference, 23rd May - 25th May 2018",
  number="1",
  pages="390--397",
  publisher="The Slovak Society for Operations Research",
  address="Bratislava",
  isbn="978-80-89962-07-5"
}