Arbeitspapier
On the appropriateness of inappropriate VaR models
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 model and the model with equally correlated risk factors. The comparison of these models in Chapter 3 is based on the literatere 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.
- Language
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Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2006,003
- Classification
-
Wirtschaft
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Financial Institutions and Services: General
- Subject
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Value-at-Risk
market index model
principal components
random effects model
probability forecast.
Modell-Spezifikation
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Härdle, Wolfgang Karl
Hlávka, Zdeněk
Stahl, Gerhard
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Härdle, Wolfgang Karl
- Hlávka, Zdeněk
- Stahl, Gerhard
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2006
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