Publication detail

The use of tests LRuc, LRind, LRcc on example of estimation of the Value-at-Risk for WIG, DAX and DJIA indices

ZINECKER, M. PIETRZAK, M. FAŁDZIŃSKI, M. BALCERZAK, A. MELUZÍN, T.

Original Title

The use of tests LRuc, LRind, LRcc on example of estimation of the Value-at-Risk for WIG, DAX and DJIA indices

Type

conference paper

Language

English

Original Abstract

The subject matter discussed in the article concerns the application of the Value at Risk metric in risk measurement on capital markets. On the one hand, this risk is the result of continuous and dynamic growth of the network of interdependencies between financial markets, and, on the other hand, is the result of the occurrence of shock situations that may turn into a permanent crisis situation. An unexpected and significant increase in risk may, in turn, translate into significant losses of financial institutions, and in some extreme cases lead even to their collapse. Therefore, measuring market risk in a skilful manner provides the opportunity to protect against significant financial losses. Quantitative determination of market risk is also important due to the possibility of spreading financial markets shocks to real economies. The main research objective of this article is to assess the quality of the Value at Risk calculations performed for the capital markets of the United States, Germany, and Poland. The research was conducted in the time period 2000-2012, where the parameters of the DCC-GARCH model were estimated for the purpose of determining VaR. The assessment of quality was made based on the backtesting performed, where binominal tests were used and they took the form of the LRuc test, LRind test, and LRcc test.

Keywords

value-at-risk, backtesting, DCC-GARCH model, binominal test

Authors

ZINECKER, M.; PIETRZAK, M.; FAŁDZIŃSKI, M.; BALCERZAK, A.; MELUZÍN, T.

Released

1. 9. 2018

Publisher

MatfyzPress, Publishing House of the Faculty of Mathematics and Physics, Charles University Prague

Location

Prague

ISBN

978-80-7378-371-6

Book

Mathematical Methods in Economics

Edition number

1.

Pages from

636

Pages to

641

Pages count

6

BibTex

@inproceedings{BUT149925,
  author="Marek {Zinecker} and Michał Bernard {Pietrzak} and Marcin {Fałdziński} and Adam Przemyslaw {Balcerzak} and Tomáš {Meluzín}",
  title="The use of tests LRuc, LRind, LRcc on example of estimation of the Value-at-Risk for WIG, DAX and DJIA indices",
  booktitle="Mathematical Methods in Economics",
  year="2018",
  number="1.",
  pages="636--641",
  publisher="MatfyzPress, Publishing House of the Faculty of Mathematics and Physics, Charles University Prague",
  address="Prague",
  isbn="978-80-7378-371-6"
}