Acta academica karviniensia 2012, 12(1):101-114 | DOI: 10.25142/aak.2012.010

POROVNÁNÍ PŘESNOSTI MODELOVÁNÍ VÝNOSŮ PORTFOLIA PRO RŮZNÁ OBDOBÍ NA TRHU

Aleš Kresta
Ing. Aleš Kresta, Ph.D., Katedra financí, Ekonomická fakulta, VŠB-TU Ostrava, Sokolská tř. 33, 701 21 Ostrava, ales.kresta@seznam.cz

The article is focused on the portfolio returns modelling, to be specific on the estimation of VaR as a portfolio risk measure. The goal of the article is to discover, how the characteristics of a market evolution influence the accuracy of VaR estimation of the internationally diversified portfolio of stock indices. Returns of portfolio are modelled by NIG model coupled together by Student copula function. The VaR estimation is back tested in different periods. The volatility of returns in each considered period evolves differently. The accuracy of VaR estimation is measured on the basis of the number of observed exceptions and its comparison to expected number of exceptions. It is apparent from the results, that for constant volatility period the model is accurate. When volatility changes in considered period, the model underestimates or overestimates the VaR.

Keywords: returns modelling, copula functions, NIG model, Value at Risk
JEL classification: G15, G17

Published: March 30, 2012  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Kresta A. POROVNÁNÍ PŘESNOSTI MODELOVÁNÍ VÝNOSŮ PORTFOLIA PRO RŮZNÁ OBDOBÍ NA TRHU. Acta academica karviniensia. 2012;12(1):101-114. doi: 10.25142/aak.2012.010.
Share...
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. ALEXANDER, C. 2008. Value-at-Risk Models. Chichester: Wiley, 2008. ISBN 978-0-470-99788-8.
    2. ALEXANDER, C.; SHEEDY, E. 2008. Developing a stress testing framework based on market risk models. Journal of Banking and Finance, 2008, roč. 32, č. 10, s. 2220-2236. ISSN 03784266. Go to original source...
    3. ARTZNER, P., aj. 1999. Coherent measures of risk. Mathematical Finance, 1999, roč. 9, č. 3, s. 203-228. Go to original source...
    4. BARNDORFF-NIELSEN, O. E. 1995. Normal inverse Gaussian distributions and the modeling of stock returns. Aarhus, 1995. Disertační práce. Aarhus University.
    5. BARONE-ADESI, G.; GIANNOPOULOS, K.; VOSPER, L. 1999. VaR without Correlations for N Linear Portfolios. Journal of Futures Markets, 1999, roč. 19, s. 853-602. Go to original source...
    6. CONT, R., TANKOV, P. 2003. Financial Modelling with Jump Processes. Chapman & Hall, 2003. ISBN 1-58488-413-4. Go to original source...
    7. DEMARTA, S.; MCNEIL, A. J. 2005. The t copula and related copulas. International Statistical Review, 2005, roč. 73, č. 1, s. 111-129. ISSN 03067734. Go to original source...
    8. HANSEN, B. E. 1994. Autoregressive conditional density estimation. International Economic Review, 1994, roč. 35, č. 3, s. 705-730. Go to original source...
    9. HULL, J. 2007. Risk Management and Financial Institutions. Upper Saddle River: Prentice Hall, 2007. ISBN 0-13-239790-0.
    10. CHERUBINI, G.; LUCIANO, E.; VECCHIATO, W. 2004. Copula Methods in Finance. Chichester: Wiley, 2004. ISBN 0-470-86344-7. Go to original source...
    11. KRESTA, A. 2010. Portfolio Value at Risk estimation utilizing Lévy models coupled together by copula functions. In Tichý, T., aj. Proceedings of 47th EWGFM meeting. Prague: X-MEDIA servis, 2010. s. 89-100. ISBN 978-80-248-2351-5.
    12. KRESTA, A. 2011. Testování vybraných modelů odhadu hodnoty VaR. Ekonomická revue - Central European Review of Economic Issues, 2011, roč. 14, č. 3, s. 199-210.
    13. KUPIEC, P. 1995. Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives, 1995, roč. 3, č. 2, s. 73-84. Go to original source...
    14. NELSEN, R. B. 2006. An Introduction to Copulas. Springer, 2006. ISBN 978-0387-28659-4.
    15. PRAUSE, K. 1999. The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures. Freiburg, 160 s., 1999. Disertační práce. Albert-Ludwigs-Universität Freiburg.
    16. RANK, J. 2006. Copulas: From Theory to Application in Finance. London: Risk Books, 2006. ISBN 978-1-904339-45-8.
    17. SKLAR, A. 1959. Fonctions de repartition à n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris, 1959, roč. 8, s. 229-231.
    18. TICHÝ, T. 2010. Posouzení odhadu měnového rizika portfolia pomocí Lévyho modelů. Politická ekonomie, 2010, roč. 58, č. 4, s. 504-521. Go to original source...
    19. ZMEŠKAL, Z, aj. 2004. Finanční modely. 2. vyd. Praha: Ekopress, 2004. ISBN 80-86119-87-4.

    Return to the content