About: A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	In this paper we compare the most prominent nonparametric, parametric and semi-parametric Value-at-Risk (VaR) models for two portfolios ? one long and the other short on the Prague Stock Exchange (PX) index. In the nonparametric class we investigate the historical simulation and the weighted historical simulation methods. Out of the various parametric approaches that have been proposed in the literature, we examine the GARCH-type models. In the semi-parametric category we focus on the filtered historical simulation method and models based on the extreme value theory. In this paper we compare the most prominent nonparametric, parametric and semi-parametric Value-at-Risk (VaR) models for two portfolios ? one long and the other short on the Prague Stock Exchange (PX) index. In the nonparametric class we investigate the historical simulation and the weighted historical simulation methods. Out of the various parametric approaches that have been proposed in the literature, we examine the GARCH-type models. In the semi-parametric category we focus on the filtered historical simulation method and models based on the extreme value theory. (en)
Title	A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy (en)
skos:prefLabel	A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy (en)
skos:notation	RIV/00216208:11230/10:10049955!RIV11-GA0-11230___
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/08/0004), Z(MSM0021620841)
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Miklovič, Michal
http://linked.open.../riv/druhVysledku	C - Kapitola v knize
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	244534
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/10:10049955
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	accuracy; model; determinig; for; techniques; management; risk; using; models; value-at-risk; selected; comparison (en)
http://linked.open.../riv/klicoveSlovo	using techniques comparison for management model models risk accuracy value-at-risk determinig selected
http://linked.open...ontrolniKodProRIV	[12E6FD3E8CBF]
http://linked.open...i/riv/mistoVydani	Prague
http://linked.open...vEdiceCisloSvazku	Neuveden
http://linked.open...i/riv/nazevZdroje	Advanced measurement techniques for market and operational risk
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...v/pocetStranKnihy	262 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Miklovič, Michal
http://linked.open...n/vavai/riv/zamer	Development of the Czech Society in the EU: challenges and risks
number of pages	57 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Karlova v Praze. Nakladatelství Karolinum
https://schema.org/isbn	978-80-246-1871-5
http://localhost/t...ganizacniJednotka	11230
is http://linked.open...avai/riv/vysledek of	A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy

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