Detail publikace

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.

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"
}