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  • Banking legislature allows banks to use internal models to estimate risk metrics such a Value at Risk (VaR). These metrics indirectly determine regulatory capital needed to be held for different kinds of risks. The article aims to make a comparison of classic methods (historical simulation and bootstrap approach) allowed in Basel II framework to Extreme Value Theory. Influence of selected approach to resulting VaR is stressed. The problem is demonstrated on positively skewed data with extreme values that reflect nature of many financial processes. Our findings suggest alternative methods assess higher estimates of VaR than the accepted one and are more accurate in terms of estimator variance.
  • Banking legislature allows banks to use internal models to estimate risk metrics such a Value at Risk (VaR). These metrics indirectly determine regulatory capital needed to be held for different kinds of risks. The article aims to make a comparison of classic methods (historical simulation and bootstrap approach) allowed in Basel II framework to Extreme Value Theory. Influence of selected approach to resulting VaR is stressed. The problem is demonstrated on positively skewed data with extreme values that reflect nature of many financial processes. Our findings suggest alternative methods assess higher estimates of VaR than the accepted one and are more accurate in terms of estimator variance. (en)
Title
  • Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II
  • Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II (en)
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  • Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II
  • Extreme Value Theory and Bootstrap Approach for Robust Value at Risk Estimation under Basel II (en)
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  • RIV/70883521:28120/12:43868044!RIV13-MSM-28120___
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  • 135967
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  • RIV/70883521:28120/12:43868044
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  • Value at risk, bootstrap sampling, extreme value theory, extremes identification, economic capital, regulatory capital (en)
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  • [D63025B01211]
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  • Zlín
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  • Advances in Finance and Accounting. Proceedings of the 1st WSEAS International Conference on Finance, Accounting and Auditing (FAA ´12)
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  • Homolka, Lubor
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issn
  • 2227-460X
number of pages
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  • WSEAS Press
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  • 978-1-61804-124-1
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  • 28120
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