Seminar za računarstvo i primenjenu matematiku, 20. novembar 2012.

• 19. Novembar,  2012
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Naredni sastanak Seminara za računarstvo i primenjenu matematiku biće održan 20. novembra 2012. u 14:15 časova u sali 301f MI SANU.

Predavač: Selena Totić, Fakultet organizacionih nauka, Univerzitet u Beogradu

Naslov predavanja: EMPIRICAL COMPARISON OF CONVENTIONAL METHODS AND EXTREME VALUE THEORY APPROACH IN VALUE-AT-RISK ASSESSMENT

Sadržaj: Value-at-risk (VaR) has become a standard tool in contemporary risk management practice. However, the latest financial crisis has put in question the adequacy of different methodologies for VaR estimation. This paper investigate the predictive performances of eight VaR models, ranging from well-known historical simulation and exponentially weighted moving average (EWMA) models to more advanced models such as generalized autoregressive conditionally heteroscedastic (GARCH) and extreme value theory (EVT). The special emphasis was paid to the approach that used GARCH model to estimate volatility of returns and EVT model to estimate the tails of GARCH residuals. The research covers the sample of daily returns of Standard & Poors 500 Index from the period January 2, 1980 to February 16, 2010. This sample period was chosen since it covers some major crisis and shocks, thus being suitable for testing robustness of these models. All models are statistically backtested and obtained results proved that EVT-based methodology generated the most accurate VaR estimates.

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