| dc.contributor.author | Kresta, Aleš | |
| dc.date.accessioned | 2012-02-14T06:09:33Z | |
| dc.date.available | 2012-02-14T06:09:33Z | |
| dc.date.issued | 2011 | |
| dc.identifier.citation | Ekonomická revue. 2011, roč. 14, č. 3, s. 201-212 : il. | cs |
| dc.identifier.issn | 1212-3951 | |
| dc.identifier.uri | http://hdl.handle.net/10084/90144 | |
| dc.format.extent | 2366928 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | cs | |
| dc.publisher | Vysoká škola báňská - Technická univerzita Ostrava | cs |
| dc.relation.ispartofseries | Ekonomická revue | cs |
| dc.relation.uri | http://dx.doi.org/10.7327/cerei.2011.09.05 | |
| dc.rights | © Vysoká škola báňská - Technická univerzita Ostrava | cs |
| dc.title | Testování vybraných modelů odhadu hodnoty VaR | cs |
| dc.type | article | |
| dc.description.abstract-en | Modeling, measuring, and subsequent management of the portfolio risks is of great importance for decision
making in financial institutions. This article is focused on the portfolio returns modeling with the use of two
particular probability distributions, normal distribution and normal inverse Gaussian model. The normal distribution
is chosen because of its general and easy use and normal inverse Gaussian distribution is selected because
of its ability to model the skewness and kurtosis. The goals of the article are to backtest chosen models for VaR
estimation and to choose the best one. Models based on these two distributions are compared on the basis of VaR
estimation of market risk. The backtesting results are statistically tested on the number and independence of the
exceptions. The conclusion, that the models which utilize the normal inverse Gaussian model are for portfolio
modeling more appropriate than those with normal probability distribution, is based on the results shown in the
application part of the article. On the other hand even these models are not accurate for VaR estimation on lower
confidence levels because of the existence of bunching. | cs |
| dc.identifier.doi | 10.7327/cerei.2011.09.05 | |
| dc.rights.access | openAccess | |
| dc.type.version | publishedVersion | |
| dc.type.status | Peer-reviewed | |