Hybrid Concepts of Long-Term Estimates for Value at Risk

• Autorzy: Grzegorz Mentel
• Języki publikacji: EN

Abstrakty

EN

There is a growing demand for models which enable to measure and assess the risk in long-term horizons (sometimes more than 2 years). The practical demand for such models is required by the institutions which manage the investments and retirement funds. In the paper the theoretical aspects of risk assessment methodology with the use of Value at Risk (VaR) were presented. In this method in order to estimate the long-term VaR limits the hybrid model which is the optimum mixture of random walk and mean reversion was used. The application of the presented methodology was exemplified by the estimation of long-term predictions for VaR limits for stock prices. (original abstract)

Słowa kluczowe

EN

Capital market; Risk assessment; Long-term planning

PL

Rynek kapitałowy; Ocena ryzyka; Planowanie długoterminowe

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2008
• Tom: 7
• Numer: nr 1
• Strony: 1--12

Twórcy

autor

Grzegorz Mentel

• Rzeszow University of Technology, Poland

Bibliografia

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Identyfikatory

DOI

10.2478/v10031-008-0004-0