Original title: Odhady Value-at-Risk - nestandardní postupy.
Translated title: Value-at-Risk estimation - non standard approaches.
Authors: Picková, Radka ; Šmíd, Martin (referee) ; Dupačová, Jitka (advisor)
Document type: Master’s theses
Year: 2008
Language: eng
Abstract: The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk measure and is defined as a quantile of the distribution of future returns, resp. losses. There exist various methods based on different assumptions how to estimate VaR. The most commonly used methods usually assume that the returns, resp. losses, are independently and identically distributed, especially that they are normally distributed. Since this assumption is not satisfied for most daily financial data, many alternative approaches have been suggested to estimate VaR. In the presented work two of them are discussed in detail, the CAViaR method and its asymptotic properties and the method of filtered historical simulation. One part of the work are numerical experiments with real data.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/14889

Permalink: http://www.nusl.cz/ntk/nusl-291012


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses