دورية أكاديمية
Estimating Model Risk of VaR under Different Approaches: Study on European Banks
| العنوان: | Estimating Model Risk of VaR under Different Approaches: Study on European Banks |
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| المؤلفون: | Aleksandra Helena Pasieczna, Magdalena Joanna Szydłowska |
| المصدر: | Współczesne Problemy Zarządzania, Vol 9, Iss 2(19), Pp 65-76 (2021) |
| بيانات النشر: | The Bronislaw Markiewicz State Higher School of Technology and Economics in Jaroslaw, 2021. |
| سنة النشر: | 2021 |
| المجموعة: | LCC:Social Sciences LCC:Business communication. Including business report writing, business correspondence |
| مصطلحات موضوعية: | var, monte carlo, model risk, precision, historical simulation, garch, Social Sciences, Business communication. Including business report writing, business correspondence, HF5717-5734.7, Business records management, HF5735-5746 |
| الوصف: | The objective of this research is to estimate the model risk, represented as precision, and the accuracy of the Value at Risk (VaR) measure, under three different approaches: historical simulation (HS), Monte Carlo (MC), and generalized ARCH (GARCH). In this work, to analyze the VaR model, the accuracy and precision were used. Estimation of the accuracy and precision was done under the three approaches for four European banks at 95 and 99% confidence levels. The percentage crossings and Kupiec POF were used to judge the model accuracy, whereas the ratio of the maximum and minimum VaR estimates, and the spread between the maximum and minimum VaR estimates were used to estimate the model risk. This was achieved by changing input parameters, specifically, the estimation time window (125, 250, 500 days). Implications/Recommendations: The accuracy alone is not sufficient to evaluate a model and precision is also required. The temporal evolution of the precision metrics showed that the VaR approaches were inconsistent under different market conditions. This article focuses on the accuracy and precision concepts applied to estimate model risk of the Value at Risk (VaR). VaR is the foundation for sophisticated risk metrics, including systemic risk measures like Marginal Expected Shortfall and Delta Conditional Value at Risk. Thus, understanding the risk associated with the use of VaR is crucial for finance practitioners. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English Polish |
| تدمد: | 2720-1627 2720-2569 |
| Relation: | https://czasopisma.pwste.edu.pl/index.php/wpz/article/view/151; https://doaj.org/toc/2720-1627; https://doaj.org/toc/2720-2569 |
| DOI: | 10.52934/wpz.151 |
| URL الوصول: | https://doaj.org/article/b78038b588344145b5bb8e33c87a6d36 |
| رقم الأكسشن: | edsdoj.b78038b588344145b5bb8e33c87a6d36 |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 27201627 27202569 |
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| DOI: | 10.52934/wpz.151 |