ANALYSIS OF THE DIFFERENT SCALING RULES FOR VALUE AT RISK ANALIZA RÓŻNYCHZASAD SKALOWANIA VAR

  • Bohdan Kyshakevych Polonia University in Czestochowa
  • Roman Kubaj Drohobych state pedagogical university named after Ivan Franko
  • Oleh Yuzvyak Drohobych state pedagogical university named after Ivan Franko
Keywords: VaR, scaling rule, bootstrap, dependent resampling, square-root-of-time rule, economic capital

Abstract

Analysis of the recent research concerning the performance of SRTR rule for VaR scaling as well as other methods such as bootstrap, dependent resampling, non- overlapping periods, independent resampling and different empirical scaling factors were conducted. An importance of the choosing the appropriate method of VaR scaling for solving different financial task, risk analysis and derivatives pricing was stressed in article.

Author Biographies

Bohdan Kyshakevych, Polonia University in Czestochowa
Prof. DSc
Roman Kubaj, Drohobych state pedagogical university named after Ivan Franko
Associate Professor PhD
Oleh Yuzvyak, Drohobych state pedagogical university named after Ivan Franko
PhD

References

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Abstract views: 408
PDF Downloads: 208
Published
2016-11-11
How to Cite
Kyshakevych, B., Kubaj, R., & Yuzvyak, O. (2016). ANALYSIS OF THE DIFFERENT SCALING RULES FOR VALUE AT RISK ANALIZA RÓŻNYCHZASAD SKALOWANIA VAR. Scientific Journal of Polonia University, 18(3), 20-27. https://doi.org/10.23856/1802