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2008 | 3 | 1 | 23-33
Article title

CALCULATING VAR IN EU CANDIDATE STATES

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
This paper examines whether VaR models that are created and suited for developed and liquid markets apply to the volatile and shallow financial markets of EU candidate states. To this end, several VaR models are tested on five official stock indexes from EU candidate states over a period of 500 trading days. The tested VaR models are: a historical simulation with rolling windows of 50, 100, 250 and 500 days, a parametric variance-covariance approach, a BRW historical simulation, a RiskMetrics system and a variance-covariance approach using GARCH forecasts. Based on the backtesting results it can be concluded that VaR models that are commonly used in developed financial market are not well-suited to measuring market risk in EU candidate states. Using some of the most widespread VaR models in these circumstances may result in serious problems for both banks and regulators.
Keywords
EN
ARCH   BRW   EU   EWMA   GARCH   HISTORICAL SIMULATION   VAR   VCV  
Contributors
author
  • Sasa Zikovic, Faculty of Economics, University of Rijeka, Ivana Filipovica 4, Rijeka, Croatia
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
10BHAAAA076123
YADDA identifier
bwmeta1.element.147eab37-3bfe-3759-9be5-d0796d079ae2
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