On the appropriateness of inappropriate VaR models
| Autor: | Gerhard Stahl, Wolfgang Karl Härdle, Zdeněk Hlávka |
|---|---|
| Rok vydání: | 2006 |
| Předmět: |
Statistics and Probability
jel:C52 Value-at-Risk market index model principal components random effects model probability forecast Computer science jel:C51 jel:G20 Risk factor (finance) Random effects model Stock market index Quantitative analysis (finance) Simple (abstract algebra) Principal component analysis Econometrics Value at risk Curse of dimensionality |
| Zdroj: | Allgemeines Statistisches Archiv. 90:273-297 |
| ISSN: | 1614-0176 0002-6018 |
| DOI: | 10.1007/s10182-006-0234-0 |
| Popis: | The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e. g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index, the principal components models and the model with equally correlated risk factors. The comparison of these models in Chapter 3 is based on the literature on the verification of weather forecasts (Murphy and Winkler, 1992; Murphy, 1997). Some considerations on the quantitative analysis are presented in the fourth chapter. In the last chapter, we present empirical analysis of the DAX data using XploRe. |
| Databáze: | OpenAIRE |
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