- Tytuł:
- Estimating Model Risk of VaR under Different Approaches: Study on European Banks
- Autorzy:
-
Pasieczna, Aleksandra Helena
Szydłowska, Magdalena Joanna - Powiązania:
- https://bibliotekanauki.pl/articles/2079534.pdf
- Data publikacji:
- 2021-12-31
- Wydawca:
- Państwowa Wyższa Szkoła Techniczno-Ekonomiczna im. ks. Bronisława Markiewicza w Jarosławiu
- Tematy:
-
VaR
Monte Carlo
model risk
precision
historical simulation
GARCH - Opis:
- 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.
- Źródło:
-
Współczesne Problemy Zarządzania; 2021, 9, 2(19); 65-76
2720-1627
2720-2569 - Pojawia się w:
- Współczesne Problemy Zarządzania
- Dostawca treści:
- Biblioteka Nauki
Artykuł