The following information was submitted:
Transactions: INTERNATIONAL JOURNAL of MATHEMATICS AND COMPUTERS IN SIMULATION
Transactions ID Number: 20-240
Full Name: Simona Mutu
Position: Please, select:
Age: ON
Sex: Female
Address: STR. ALVERNA, NR. 42, AP.19, CLUJ-NAPOCA
Country: ROMANIA
Tel:
Tel prefix:
Fax:
E-mail address: simona_mutu@yahoo.com
Other E-mails:
Title of the Paper: The Efficiency of Value at Risk Models on Central and Eastern European Stock Markets
Authors as they appear in the Paper: Simona Mutu, Peter Balogh, Darie Moldovane
Email addresses of all the authors: simona_mutu@yahoo.com,petibalogh@yahoo.com,dariemoldovan@yahoo.com;
Number of paper pages: 8
Abstract: In this paper we have analyzed the performance of some Value at Risk models through the quadratic loss function backtesting approach. In order to highlight the differences among VaR models we have calculated the risk measure through Historical Simulation, EWMA, GARCH and EVT models. VaR was calculated on daily data of five Eastern and Central European main indices: BET (Romania), PX50 (Czech Republic), BUX (Hungary), SOFIX (Bulgary) and WIG20 (Poland) from 30.09.2004 to 30.09.2010. In order to highlight different behaviors in the crisis period we have divided the data into two samples and found that only advanced VaR models such as Extreme Value Theory or GARCH models can adequately measure the risk of the capital markets and satisfy the requirements of the investors in periods characterized by extreme events.
Keywords: Extreme value theory, Ewma models, Garch models, Value at risk, Backtesting
EXTENSION of the file: .doc
Special (Invited) Session: sing Value at Risk Models for Decision Fundamentation on Central and Eastern Europe Stock Markets
Organizer of the Session: 203-102
How Did you learn about congress:
IP ADDRESS: 78.250.60.74
