Risk Estimation and Backtesting

Yuling Li

Diplomová práce

Anotace:

The financial market always fluctuates. The most popular risk measures is Value of Risk. We introduce the four methods for VaR estimation.They are historical simulation method, filtered historical simulation, analytical solution and Monte Carlo method. In order to verify the different VaR estimation approaches, we utilize backtesting on chosen time series, which are Kupiec's unconditional coverage test and Christoffersen's conditional coverage test. In order to show the calculation steps of VaR estimation and backtesting procedures clearly, we present simplified examples in the beginning of each empirical study. Then the VaR estimation is calculated with different probability levels based on different observed periods. In the end, we find out the most accuracy model on chosen time series.

Abstract:

The financial market always fluctuates. The most popular risk measures is Value of Risk. We introduce the four methods for VaR estimation.They are historical simulation method, filtered historical simulation, analytical solution and Monte Carlo method. In order to verify the different VaR estimation approaches, we utilize backtesting on chosen time series, which are Kupiec's unconditional coverage test and Christoffersen's conditional coverage test. In order to show the calculation steps of VaR estimation and backtesting procedures clearly, we present simplified examples in the beginning of each empirical study. Then the VaR estimation is calculated with different probability levels based on different observed periods. In the end, we find out the most accuracy model on chosen time series.

Klíčová slova

market risk, risk measure, Value of Risk, non-parametric method, analytical solution, normal distribution, Student's t-distribution, Monte Carlo, backtesting, Kupiec's test, Christoffersen's test, empirical study

Keywords

market risk, risk measure, Value of Risk, non-parametric method, analytical solution, normal distribution, Student's t-distribution, Monte Carlo, backtesting, Kupiec's test, Christoffersen's test, empirical study

Jazyk práce: angličtina

Datum vytvoření / odevzdání či podání práce: 27. 4. 2018

Obhajoba závěrečné práce

• Obhajoba proběhla 29. 5. 2018
• Vedoucí: Aleš Kresta
• Oponent: Josef Novotný

VŠB - Technická univerzita Ostrava

Ekonomická fakulta

Magisterský studijní program / obor:
Hospodářská politika a správa / Finance