Open AccessANALYSIS OF THE DIFFERENT SCALING RULES FOR VALUE AT RISK ANALIZA RÓŻNYCHZASAD SKALOWANIA VAR
Author(s) -
Bohdan Kyshakevych,
Roman Kubaj,
Oleh Yuzvyak
Publication year - 2016
Publication title -
periodyk naukowy akademii polonijnej
Language(s) - English
Resource type - Journals
eISSN - 2543-8204
pISSN - 1895-9911
DOI - 10.23856/1802
Subject(s) - resampling , scaling , value at risk , econometrics , multidimensional scaling , mathematics , value (mathematics) , computer science , statistics , risk management , economics , finance , geometry
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.