Comparison of Alternative Approaches to VaR Evaluation

Marcin Łupiński

Ekonomia journal, 2013, vol. 33

Abstract: The main goal of this article is to present alternative methods of market risk measurement in Polish banking sector with popular Value at Risk (VaR) approach. Four main methods: analytical, historical, simulation and hybrid (Filtered Historical Simulation, FHS) of VaR are presented and then three of them are applied to evaluate interest risk stemming from government bonds’ portfolio held by Polish banks. Adequacy of VaR measures counted with particular methods is compared with the help of formalized criteria and best fitted methodology is recommended.

Keywords: market risk; VaR; analytical; historical; simulation and hybrid VaR (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://ekonomia.wne.uw.edu.pl/ekonomia/getFile/368 (application/pdf)
no

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eko:ekoeko:33_127

Access Statistics for this article

More articles in Ekonomia journal from Faculty of Economic Sciences, University of Warsaw Contact information at EDIRC.
Bibliographic data for series maintained by ().