文章基本信息

标题：APPROACHES USED IN THE CALCULATION OF THE VALUE-AT-RISK, FOR MARKET RISK ESTIMATION PURPOSES
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作者：PhD Candidate Gabriela BUCULEI ; PhD Univ. Professor Vergil VOINEAGU ; PhD Mihaela GRUIESCU 等
期刊名称：Revista Română de Statistică
印刷版ISSN：1018-046X
电子版ISSN：1844-7694
出版年度：2009
卷号：9
出版社：Romanian National Institute of Statistics
摘要：The management of market risks represents an integral part of all the decision-making and business processes within a fi nancial-banking institution and has as purpose the identifi cation, the estimation, the monitoring and control of the market risk. The most well-known instrument for the estimation of the market risk is Value-at- Risk (VaR), for which various calculation methodologies have been developed, usedsuccessfully in the banking industry. This paper aims at analyzing a series of known VaR calculation approaches, in order to address, at least partially, a series of issues that are subject to permanent debate, concerning the optimal length of the sample measuring the volatility of the return of a fi nancial instrument, the dependency of the estimated volatility on the sample length, as well as various solutions for the performance of volatility estimations over a larger time horizon.
关键词：market risk; Value-at-Risk; volatility; estimate; time horizon;confi dence level