Optimisation of decay factor in time weighted (BRW) simulation: VaR performance in Mediterranean countries (CROSBI ID 551908)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Žiković, Saša ; Prohaska, Zdenko
engleski
Optimisation of decay factor in time weighted (BRW) simulation: VaR performance in Mediterranean countries
The authors propose an optimisation approach to determining the optimal decay factor in time weighted (BRW) simulation. Testing of BRW simulation with different decay factors and competing VaR models is performed on a sample of nine Mediterranean countries, over a period that includes the ongoing financial crisis. Optimised BRW simulation is among the best performing models, second only to EVT approaches. Optimizing the decay factor in regards to Lopez function results in decay factor estimates that are higher than usually employed 0.97 and 0.99. The optimal decay factors are stable over time and provide significantly better backtesting results than the standard assumption.
Value at Risk; time weighted (BRW) simulation; optimisation; decay factor; Mediterranean
http://www.ifc5.com/ http://www.conferensum.com/Web.UConf.M.Conf.ConfUpcomingConference.View.cuke?ID=337 http://www.virtusinterpress.org/news-conferences.html JEL classification: G24, C14, C22, C52, C53
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Podaci o prilogu
2009.
objavljeno
Podaci o matičnoj publikaciji
Podaci o skupu
5th International Finance Conference
predavanje
12.03.2009-14.03.2009
Hammamet, Tunis