A comparison of several time-series models for assessing the value at risk of shares

被引：2

作者：

Zucchini, W ^{[1
]}

Neumann, K ^{[1
]}

机构：

[1] Univ Gottingen, Inst Stat & Okonometrie, D-37073 Gottingen, Germany

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2001年 / 17卷 / 01期

关键词：

value at risk; time series; series of returns; banking supervision; GARCH; stochastic volatility; hidden Markov;

D O I：

10.1002/asmb.424

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The objective of this investigation was to assess the suitability of some standard time-series models to perform a specific task in the context of recent change in banking regulations in Germany. The task is to estimate the value at risk (VaR) associated with financial assets on a daily basis. The procedure employed by the supervisory authorities to monitor whether a model used for this purpose adequately performs this task is outlined. Nine time-series models were investigated using share prices from the Frankfurt Stock exchange. The models were compared in terms of criteria that are derived from the new regulations. The results are reported. Copyright (C) 2001 John Wiley & Sons, Ltd.

引用

页码：135 / 148

页数：14

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