Value at Risk yang memperhatikan sifat statistika distribusi return

Hokky Situngkir ()

MPRA Paper from University Library of Munich, Germany

Abstract: Basel II Accord implicitely demands the usage of the recent statistical approaches to enrich the risk measurement in financial analysis. A widely known aspect in risk analysis today is the Value at Risk. We showed that the conventional VaR measurement regarding to the usage of normality as a basic principles is not met with the statistical properties discovered in a lot of financial data showing a-normality. The paper shows the comparative analysis of two methods to measure VaR: the one with normality basis and the other one realizing the two statistical moments, i.e.: skewness and kurtosis. The simulation results show that the latter gives better accuracy.

JEL-codes: C53 D81 G21 G24 G32 (search for similar items in EconPapers)
Date: 2006-04-27
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:895

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