PL EN


2013 | 33 | 127-143
Article title

Comparison of Alternative Approaches to VaR Evaluation

Content
Title variants
Languages of publication
EN
Abstracts
EN
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.
Contributors
  • University of Warsaw and National Bank of Poland
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-fb61914f-3b75-45da-ab6d-e6ced173d124
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.