Comparison of Alternative Approaches to VaR Evaluation

• Autorzy: Marcin Łupiński
• Języki publikacji: EN

Abstrakty

EN

The main goal of this article is to present alternative methods of market risk measurement in Polish banking sector with popular Value at Risk (VaR) approach. Four main methods: analytical, historical, simulation and hybrid (Filtered Historical Simulation, FHS) of VaR are presented and then three of them are applied to evaluate interest risk stemming from government bonds' portfolio held by Polish banks. Adequacy of VaR measures counted with particular methods is compared with the help of formalized criteria and best fitted methodology is recommended. (original abstract)

Słowa kluczowe

EN

Financial risk management; VaR method; Banking sector

PL

Zarządzanie ryzykiem finansowym; Miernik ryzyka (VaR); Sektor bankowy

• Czasopismo: Ekonomia / Uniwersytet Warszawski
• Rocznik: 2013
• Numer: nr 33
• Strony: 127--143

Twórcy

autor

Marcin Łupiński

• University of Warsaw, Poland; National Bank of Poland

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