Bibliographic Metadata

Title
Über die bedingte/gefilterte historische Simulation und nicht-Gauß'schen Modelle im quantitativen Risikomanagement / Julia Puchner
Additional Titles
On conditional/filtered historical simulation and non-Gaussian models in quantitative risk management
AuthorPuchner, Julia Helene
CensorHubalek, Friedrich
Published2011
Description107 Bl. : graph. Darst.
Institutional NoteWien, Techn. Univ., Dipl.-Arb., 2011
Annotation
Abweichender Titel laut Übersetzung der Verfasserin/des Verfassers
Zsfassung in engl. Sprache
LanguageGerman
Document typeThesis (Diplom)
Keywords (DE)Value-at-Risk, historische Simulation, GARCH, EWMA
Keywords (EN)value-at-risk, historical simulation, GARCH, EWMA
URNurn:nbn:at:at-ubtuw:1-43800 Persistent Identifier (URN)
Restriction-Information
 The work is publicly available
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Über die bedingte/gefilterte historische Simulation und nicht-Gauß'schen Modelle im quantitativen Risikomanagement [2.03 mb]
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Abstract (English)

In recent years value-at-risk evolved to a widely spread concept for measuring risks. One possibility to calculate the value-at-risk is the usage of a GARCH- or EWMA-process in combination with a historical simulation and adjustment of historical data to reflect the difference between the historical volatility of the market variable and its current volatility. Another way to specify this measure is to apply the RiskMetrics variance model to the historical simulation, so that declining weigths are applied to past returns. One can also assess the value-at-risk by choosing any probability distribution for the data and using a transformation to obtain a multivariate normal distribution. The necessary parameters are hereby provided by a updating scheme such as GARCH time series. Finally, by circumventing the assumption of normally distributed data and modeling the volatility of the exchange rates by a GARCH-process, the two most frequent points of criticism when calculating the value-at-risk are countered in advance. This diploma thesis illustrates these approaches with the help of daily exchange rates of twelve different currencies and a comparison is carried out.

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