Risk evaluation in financial risk management: prediction limits and backtesting
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Osnabrück
Univ., Inst. für Empirische Wirtschaftsforschung
2008
|
| Schriftenreihe: | Beiträge des Instituts für Empirische Wirtschaftsforschung
76 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 25 Bl. graph. Darst. |
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| adam_text | Titel: Risk evaluation in financial risk management
Autor: Pauly, Ralf
Jahr: 2008
Risk evaluation in financial risk management:
prediction limits and backtesting*
Ralf Pauly and Jens Fricke
Contents
1 Motivation 2
2 Risk evaluation 3
3 Forecasting procedures 5
3.1 Historical Simulation (HS) and Historical Volatility (HV)........ 5
3.2 Exponentially weighted moving average (EWMA)............ 5
3.3 GARCH based forecasts........................... 6
4 Prediction limits 8
5 Simulation and real data results 11
5.1 Monte Carlo design.............................. 11
5.2 Simulation results............................... 14
5.3 Real data results................................ 19
6 Conclusion 20
7 References 22
8 Appendix 23
We are thankful to Olena Brustina for her work on bootstrapped prediction intervals
and Philip Bufimartn for his support in analyzing the financial time series.
|
| adam_txt |
Titel: Risk evaluation in financial risk management
Autor: Pauly, Ralf
Jahr: 2008
Risk evaluation in financial risk management:
prediction limits and backtesting*
Ralf Pauly and Jens Fricke
Contents
1 Motivation 2
2 Risk evaluation 3
3 Forecasting procedures 5
3.1 Historical Simulation (HS) and Historical Volatility (HV). 5
3.2 Exponentially weighted moving average (EWMA). 5
3.3 GARCH based forecasts. 6
4 Prediction limits 8
5 Simulation and real data results 11
5.1 Monte Carlo design. 11
5.2 Simulation results. 14
5.3 Real data results. 19
6 Conclusion 20
7 References 22
8 Appendix 23
We are thankful to Olena Brustina for her work on bootstrapped prediction intervals
and Philip Bufimartn for his support in analyzing the financial time series. |
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| spelling | Pauly, Ralf Verfasser (DE-588)17002461X aut Risk evaluation in financial risk management prediction limits and backtesting Ralf Pauly and Jens Fricke Osnabrück Univ., Inst. für Empirische Wirtschaftsforschung 2008 25 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Beiträge des Instituts für Empirische Wirtschaftsforschung 76 Fricke, Jens Verfasser aut Beiträge des Instituts für Empirische Wirtschaftsforschung 76 (DE-604)BV012905782 76 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016713010&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pauly, Ralf Fricke, Jens Risk evaluation in financial risk management prediction limits and backtesting Beiträge des Instituts für Empirische Wirtschaftsforschung |
| title | Risk evaluation in financial risk management prediction limits and backtesting |
| title_auth | Risk evaluation in financial risk management prediction limits and backtesting |
| title_exact_search | Risk evaluation in financial risk management prediction limits and backtesting |
| title_exact_search_txtP | Risk evaluation in financial risk management prediction limits and backtesting |
| title_full | Risk evaluation in financial risk management prediction limits and backtesting Ralf Pauly and Jens Fricke |
| title_fullStr | Risk evaluation in financial risk management prediction limits and backtesting Ralf Pauly and Jens Fricke |
| title_full_unstemmed | Risk evaluation in financial risk management prediction limits and backtesting Ralf Pauly and Jens Fricke |
| title_short | Risk evaluation in financial risk management |
| title_sort | risk evaluation in financial risk management prediction limits and backtesting |
| title_sub | prediction limits and backtesting |
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