Premium
A comparison of several time‐series models for assessing the value at risk of shares
Author(s) -
Zucchini Walter,
Neumann Kristin
Publication year - 2001
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.424
Subject(s) - value at risk , task (project management) , stock exchange , series (stratigraphy) , econometrics , value (mathematics) , computer science , context (archaeology) , actuarial science , economics , risk management , finance , machine learning , paleontology , management , biology
The objective of this investigation was to assess the suitability of some standard time‐series models to perform a specific task in the context of recent change in banking regulations in Germany. The task is to estimate the value at risk (VaR) associated with financial assets on a daily basis. The procedure employed by the supervisory authorities to monitor whether a model used for this purpose adequately performs this task is outlined. Nine time‐series models were investigated using share prices from the Frankfurt Stock exchange. The models were compared in terms of criteria that are derived from the new regulations. The results are reported. Copyright © 2001 John Wiley & Sons, Ltd.