Analysis Based on the Risk Metrics Model

Bogdan Zugravu, Dumitru Cristian Oanea and Victoria Gabriela Anghelache
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Victoria Gabriela Anghelache: Academy of Economic Studies, Bucharest

Romanian Statistical Review Supplement, 2013, vol. 61, issue 2, 145-154

Abstract: The first aim of this paper is to see if there is some differences regarding the value of decay factor estimated based on squared error loss, the RiskMetrics approach, and the values obtain from implementing the check error loss function in estimating the decay factors. Regarding the equity market, all investors recorded losses during the financial crisis if they used the RiskMetrics methodology in forecasting the risk. Moreover the only model which was able to predict the risk is represented by RiskMetrics-2006, at 99% confidence level. For exchange rates and commodities, RiskMetrics seems to have a good performance, because for both types of loss functions and under both distribution assumptions, on overall the Risk Metrics is able to forecast the risk.

Keywords: analysis; decay factor estimated; risk metrics; financial crisis (search for similar items in EconPapers)
JEL-codes: D81 G32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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