Hybrid Concepts of Long-Term Estimates for Value at Risk

• Authors: Grzegorz Mentel
• Languages of publication: EN

Abstracts

EN

There is a growing demand for models which enable to measure and assess the risk in long-term horizons (sometimes more than 2 years). The practical demand for such models is required by the institutions which manage the investments and retirement funds. In the paper the theoretical aspects of risk assessment methodology with the use of Value at Risk (VaR) were presented. In this method in order to estimate the long-term VaR limits the hybrid model which is the optimum mixture of random walk and mean reversion was used. The application of the presented methodology was exemplified by the estimation of long-term predictions for VaR limits for stock prices.

Keywords

EN

Value at Risk; capital market; Warsaw Stock Exchange

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2008
• Volume: 7
• Issue: 1
• Pages: 1-12

Dates

published

2008-01-01

online

2008-06-11

Contributors

author

Grzegorz Mentel

• Department of Quantitative Methods in Economics, Faculty of Management and Marketing, Rzeszow University of Technology, Powstańców Warszawy 8, 35-959 Rzeszów

References

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Identifiers

DOI

10.2478/v10031-008-0004-0