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

Bohdan Kyshakevych; Roman Kubaj; Oleh Yuzvyak

doi:10.23856/1802

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

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