Comparison of Alternative Approaches to VaR Evaluation

• Authors: Marcin Łupiński
• 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.

Keywords

EN

market risk; VaR; analytical, historical, simulation and hybrid VaR

• Publisher: Wydział Nauk Ekonomicznych Uniwersytetu Warszawskiego
• Journal: Ekonomia. Rynek, Gospodarka, Społeczeństwo
• Year: 2013
• Issue: 33
• Pages: 127-143

Contributors

author

Marcin Łupiński

• University of Warsaw and National Bank of Poland