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Structural Breaks and Financial Risk Management
Company: Magyar Nemzeti Bank
Year Of Publication: 2004
Month Of Publication: December
Pages: 60
Download Count: 351
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 6-24-2007
Publisher: Administrator
There is ample empirical evidence on the presence of structural changes in financial time series. Structural breaks are also shown to contribute to the leptokurtosis of financial returns and explain at least partly the observed persistence of volatility processes. This paper explores whether detecting and taking into account structural breaks in the volatility model can improve upon our Value at Risk forecast. VAR is used by banks as a standard risk measure and is accepted by regulation in setting capital, which makes it an issue for the central bank guarding against systemic risk.
Valentinyi-Endresz, Marianna Sign in to follow this author
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