Optimisation of decay factor in the weighted (BRW) simulation: Implications for VaR performance in Mediterranean countries (CROSBI ID 153128)
Prilog u časopisu | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Žiković, Saša ; Prohaska, Zdenko
engleski
Optimisation of decay factor in the weighted (BRW) simulation: Implications for VaR performance in Mediterranean countries
We propose an optimisation approach to determining the optimal decay factor in time weighted (BRW) simulation. Testing of BRW simulation with different decay factors and competing VaR models is performed on a sample of nine Mediterranean countries, over a four year period that includes the ongoing financial crisis. After optimisation BRW simulation is among the best performing tested VaR models, second only to EVT approaches. Optimizing the decay factor in regards to Lopez function results in decay factor estimates that are higher than usually employed 0.97 and 0.99. The optimal decay factors are stable over time and provide significantly better backtesting results than the standard assumption.
Risk management ; Value at Risk ; time weighted (BRW) simulation ; optimisation ; decay factor ; Mediterranean
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Podaci o izdanju
23 (1)
2010.
73-85
objavljeno
1331-677X
1848-9664
10.1080/1331677X.2010.11517402