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On the Appropriateness of Inappropriate VaR Models
Company: Physica-Verlag
Year Of Publication: 2006
Month Of Publication: January
Pages: 26
Download Count: 653
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 2-9-2006
Publisher: Administrator
Summary
The Value-at-Risk calculation reduces the dimensionality of the risk factorspace. The main reasons for such simplifications are, e.g., technical efficiency, the logic andstatistical appropriateness of the model. In Chapter 2 we present three simple mappings:the mapping on the market index, the principal components model and the model withequally correlated risk factors. The comparison of these models in Chapter 3 is basedon the literatere on the verification of weather forecasts (Murphy and Winkler 1992,Murphy 1997). Some considerations on the quantitative analysis are presented in thefourth chapter. In the last chapter, we present empirical analysis of the DAX data usingXploRe.
Author(s)
Hardle, Wolfgang Sign in to follow this author
Hlavka, Z. Sign in to follow this author
Stahl, Gerhard Sign in to follow this author
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