The Predictive Value at Risk and Capital Requirements for Market Risk. The Case of PLN/USD Exchange Rate

• Autorzy: Mateusz Pipień
• Języki publikacji: EN

Abstrakty

EN

The main goal of this paper is an application of the Bayesian inference in Value at Risk (VaR) prediction. As a VaR forecasts we use quantiles of the predictive densities obtained from AR(1)-GARCH(1,1) models (Osiewalski and Pipień 1999, 2003), with α-Stable or Skewed-t conditional distributions; Pipień (2005). From the definition, the predictive distribution yields probabilistic and easy to interpret information about ex ante uncertainty of forecasted variables. The predictive density combines the sampling assumptions of considered model, with uncertainty about model parameters. As a result, Value at Risk taken from predictive distributions should yield a flexible tool of risk measuring.(fragment of text)

Słowa kluczowe

EN

Value at Risk Analysis; Market risk; VaR method; Forecasting methods; GARCH model

PL

Analiza wartości zagrożonej; Ryzyko rynkowe; Miernik ryzyka (VaR); Metody prognozowania; Model GARCH

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 179--188

Twórcy

autor

Mateusz Pipień

• Cracow University of Economics, Poland

Bibliografia

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