Překlad názvu: Comparison of Value-at-Risk using various empirical methods for the portfolios of BRICT and G-7 countries in the long run
Autoři: Gül, Özgür ; Baruník, Jozef (vedoucí práce) ; Gapko, Petr (oponent)
Typ dokumentu: Diplomové práce
Rok: 2010
Jazyk: eng
Abstrakt: This master's thesis deals with Value-at-Risk for equity portfolios. The distribution of daily returns of equity returns is not perfectly normal. Therefore, the use of the Delta- Normal Value-at-Risk (VaR) method is misleading. Accuracy of estimation may turn out to be failure for portfolios to measure VaR time to time. Therefore, two further methods, Modified VaR and Filtered Historical Simulation, are used for VaR estimation. The former estimates using Cornish-Fisher (1937) expansion and then the latter estimates using autoregressive model for mean equation, EGARCH for volatility and Filtered Historical Simulation (FHS) for VaR estimation i.e. AR (1) - EGARCH (1,1) - FHS methods; and also the performance of both the VaR estimates with Delta- Normal VaR estimate are compared. Last but not the least the implementation of various methods are discussed and analyzed on the two passive historical index portfolios, which represent some of the most attractive financial markets in the world economy.

Instituce: Fakulty UK (VŠKP) (web)
Informace o dostupnosti dokumentu: Dostupné v digitálním repozitáři UK.
Původní záznam: http://hdl.handle.net/20.500.11956/34246

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-298718


Záznam je zařazen do těchto sbírek:
Školství > Veřejné vysoké školy > Univerzita Karlova > Fakulty UK (VŠKP)
Vysokoškolské kvalifikační práce > Diplomové práce