Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

historical sign in to follow this
simulation sign in to follow this
equity sign in to follow this
index sign in to follow this
Croatia sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Applying Hybrid Approach to Calculating VaR in Croatia
Company: Proceedings of the International Conference of the Faculty of Economics in Sarajevo: From Transition to Sustainable Development: The Path to European Integration
Year Of Publication: 2006
Month Of Publication: July
Pages: 21
Download Count: 711
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 7-4-2007
Publisher: Administrator
Summary
In this paper the author examines the theoretical background of two nonparametricapproaches to calculating VaR, historical simulation and hybrid approach developed byBoudoukh, Richardson and Whitelaw, and examines their performance in a transitional capitalmarket such as Republic of Croatia. The paper evaluates and analyses the out-of-sampleforecasting accuracy of both methods on two Croatian indexes, CROBEX – the official index ofZagreb Stock Exchange and VIN - the official index of Varazdin Stock Exchange. In section 2 ofthe paper, an overview of Value at Risk as a methodology for measuring market risk ispresented. Section 3, present the methodology of calculating VaR via historical simulation. Insection 4, a hybrid nonparametric approach to calculating VaR is presented and its advantagesand disadvantages are discussed. Section 5 analyses the characteristics of Croatian financialmarket. In section 6, out-of-the-sample performance evaluation of historical simulation andhybrid BRW approach, with different observation windows and decay factors is performed ontwo Croatian stock indexes.
Author(s)
Zikovic, Sasa Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile