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- Title
WERYFIKACJA HISTORYCZNA MODELI WARTOŚCI ZAGROŻONEJ -- ZASTOSOWANIE WYBRANYCH METOD DLA RYNKU POLSKIEGO W OKRESIE KRYZYSU FINANSOWEGO.
- Authors
Lusztyn, Marek
- Abstract
Several banks use internal Value at Risk models to measure market risk and to calculate regulatory capital necessary to cover that risk. Backtesting is a statistical tool that allows differentiating precise and imprecise risk models. The objective of this paper is to backtest selected Value at Risk models in a period preceding and during the financial crisis, based on the example of Polish currency, equity and bond markets. The obtained results do not justify unequivocal statistical acceptance of any of the analyzed models. This in turn suggest extreme caution in using Value at Risk as the only quantitative risk management tool. Stable and cautious risk management of a financial institution calls for supplementing Value at Risk with alternative risk measures.
- Subjects
VALUE at risk; FINANCIAL crises; NATIONAL currencies; BOND market; RISK management of financial institutions; BANKING research
- Publication
Econometrics / Ekonometria, 2013, Vol 4, Issue 42, p117
- ISSN
1507-3866
- Publication type
Article