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Abstrakty
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)
Twórcy
autor
- Rzeszow University of Technology, Poland
Bibliografia
- Best, P. (2000). Wartość narażona na ryzyko. Obliczanie i wdrażanie modelu VaR. Kraków: Oficyna Ekonomiczna, Dom Wydawniczy ABC.
- Enders, W. (1995). Applied Econometric Time Series, New York: John Wiley & Sons.
- Glen, J.D. (1992). Real Exchange Rates in the Short, Medium and Long Run. Journal of International Economics, 33.
- Kim, J. & Mina, J. (2000). ClearHorizon™ Technical Document. Forecasting Methodology for Horizons beyond Two Years. New York: Risk Metrics Group.
- Metcalf, G.E. & Hassett, K.A. (1995). Investment under Alternative Return Assumptions. Comparing Random Walks and Mean Reversion. Journal of Economic Dynamics and Control, 19.
- Pisula, T. & Pisula, J. (2002). Możliwości efektywnego przewidywania ryzyka zmian kursów akcji spółek notowanych na GPW. Rynek Terminowy, 17, Kraków: Agencja Informacyjna Penetrator.
- RiskMetrics™ Technical Document, 4th edition (1996). New York: Morgan Guaranty Trust Company.
- Weron, A. & Weron, R. (1998). Inżynieria Finansowa. Warszawa: WNT.
Typ dokumentu
Bibliografia
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bwmeta1.element.ekon-element-000171193907