Application of Bayesian Inference in Value-at-Risk Forecasting with the Use of Conditionally Asymmetric and Fat-Tailed GARCH Models

• Autorzy: Mateusz Pipień
• Języki publikacji: EN

Abstrakty

EN

Chapter 4 presents an application of the Bayesian inference in Value at Risk (VaR) prediction for PLN/USD exchange rate and the prediction of the minimal capital requirements for market risk. Using various testing procedures, the accuracy of the VaR estimates among models has been compared. In particular, it has been checked if the forecast quality of the capital charge for the market risk is sensitive to changes in sampling model. (fragment of text)

Słowa kluczowe

EN

GARCH model; VaR method; Market risk; Bayesian inference

PL

Model GARCH; Miernik ryzyka (VaR); Ryzyko rynkowe; Wnioskowanie bayesowskie

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 67--80

Twórcy

autor

Mateusz Pipień

• Cracow University of Economics, Poland

Bibliografia

• Basel II (2004), International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Basel: Bank for International Settlements.
• Bauwens L., Lubrano M. (1997), "Bayesian Option Pricing Using Asymmetric CARCH, CORE", Louvain-la-Neuve: Université Cathalique de Louvain, Discusion Paper, 9759.
• Bauwens L., Lubrano M., Richard J-F. (1999), Bayesian Inference in Dynamic Econometric Models, Oxford: Oxford University Press.
• Christoffersen P. F. (1996), "Evaluating Interval Forecasts, International Economic Review, 39, 841-862.
• Fallon W. (1996), "Calculating Value at Risk", Wharton Financial Institutions Center Working Paper Series, 96-49.
• G-30 (1993), Derivatives: Practices and Principles, http:/www.group30.org
• Glosten L. R., Jagannathan R., Runkle D. E. (1993), "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks", Journal of Finance, 48, 1779-1801.
• Hendricks D. (1996), "Evaluation of Value-at-Risk Models Using Historical Data", Federal Reserve Bank of New York Economic Policy Review, April, 39-69.
• Hendricks D. Hirtle B. (1997), "Bank Capital Requirements for Market Risk: The internal Model Approach", Federal Reserve Bank of New York Economic Policy Review, December, 1-12.
• Jorion P. (1996a), Value at Risk: The New Benchmark for Controlling Market Risk, Chicago: Irwin.
• Jorion P. (1996b), "Risk: Measuring the Risk in Value at Risk", Financial Analyst Journal, 52.
• Kupiec P. (1995), "Techniques for Veryfying the Accuracy of Risk Management Models", Journal of Derivatives, 2, 173-184.
• Liu R. (1996), "VAR and VAR Derivatives", Capital Market Strategies, 5, 23-33.
• Lopez J. A. (1998), "Testing Your Risk Tests", The Financial Survey , May-June, 18-20.
• Lopez J. A. (1999), "Methods for Evaluating Value-at-Risk Estimates", Federal Reserve Bank of San Francisco Economic Review, February, 3-17.
• Osiewalski J., Pipień M. (1999), "Bayesian Forecasting of Foreign Exchange Rates Using GARCH Models with Skewed-t Conditional Distributions", in: Welfe W. (ed.), Conference Proceedings, Vol. 2, Łódź: Absolwent, 195-218.
• Osiewalski J., Pipień M. (2003), "Univariate GARCH Processes with Asymmetries and GARCH-In-Mean Effects: Bayesian Analysis and Direct Option Pricing", Przegląd Statystyczny, 50, 5-29.
• Pipień M. (2004a), "GARCH Processes with Skewed-i and Stable Conditional Distribution. Bayesian Analysis for PLN/USD Exchange Rate", Folia Oeconomica Cracoviensia, 45, 45-62.
• Pipień M. (2004b), "GARCH Processes with Skewed-i and Stable Conditional Distribution. Dynamic Bayesian Comparison for WIBOR Interest Rates", Proceedings of the 30th International Conference Macromodels'04, eds. Welfe A., Welfe W., Łódź, 125-138.
• Pipień M. (2005), "Value at Risk Estimates and Capital Requirements for Market Risk Obtained from GARCH Predictive Densities", Proceedings of the 31st Conference Macromodels' 04, Łódź.
• Rachev S., Mittnik S. (2002), Stable Paretian Models in Finance, New York: Wiley.
• Sarma M., Thomas S., Shah A. (2003), "Selection of VaR Models", Journal of Forecasting, 22, 337-358.
• Simons K. (1996), Value-at-Risk - New Approaches to Risk Management, Federal Reserve Bank of Boston New England Economic Review, September/October, 4-13.