Politická ekonomie 2005, 53(3):323-336 | DOI: 10.18267/j.polek.514

Porovnanie prístupov na výpočet hodnoty v riziku menových portfólií

Marián Rimarčík
Ekonomická univerzita Bratislava, Podnikovohospodárska fakulta Košice.

Comparison of approaches for value-at-risk estimation of foreign exchange portfolios

In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated. Random sample of 1000 foreign exchange portfolios consisting of positions in EUR and USD with CZK as a base currency was considered. Since foreign exchange portfolio consists of linear instruments, historical simulation and the variance-covariance method for VaR estimation were investigated. Performance of all approaches was evaluated using seven performance criteria. With minimal degree of simplification we can say that variance-covariance method using exponentially weighted averages with is the best approach. This approach produces risk estimates which are systematically lowest ones and with high time volatility. It also achieves perfect coverage (95 %) and the highest correlation between risk measure and absolute value of the outcome. RiskMetrics variance-covariance approach was dominant in spite of violation of normality assumption.

Keywords: Monte Carlo simulation, value-at-risk, historical simulation, variance-covariance method
JEL classification: C22, G21, G22

Published: June 1, 2005  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Rimarčík, M. (2005). Comparison of approaches for value-at-risk estimation of foreign exchange portfolios. Politická ekonomie, 53(3), 323-336. doi: 10.18267/j.polek.514
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Beder, T. S.: VaR: Seductive but Dangerous. Financial Analyst Journal, 1995, č. 9-10, s. 12-24. Go to original source...
    2. Boudoukh, J., Richardson, M., Whitelaw, R.: The Best of Both Worlds. RISK, 1998, č. 11, s. 64-67.
    3. Figlewski, S.: Forecasting Volatility Using Historical Data. New York, New York University 1994 (Working Paper No. 13).
    4. Hallerbach, W. G.: Decomposing Portfolio Value-at-Risk: A General Analysis. Rotterdam, Erasmus University 1999(Working Paper).
    5. Hendricks, D.: Evaluation of Value at Risk Models Using Historical Data. Federal Reserve Bank of New York Economic Policy Review, 1996, č. 4, s. 39-69. Go to original source...
    6. Jílek, J.: Finanční rizika. Praha, Grada 2000.
    7. Jorion, P.: Value at Risk: The New Benchmark for Controlling Market Risk. New York, McGraw-Hill 2000.
    8. Linsmeier, T., Pearson, N.: Risk Measurement: An Introduction to Value at Risk. Urbana
    9. Champaign, University of Illinois 1996 (Working Paper).
    10. Longerstaey, J.: RiskMetrics Technical Document. New York, J. P. Morgan 1996.
    11. Manganelli, S., Engle, R. F.: Value at Risk Models in Finance. Frankfurt/M., European Central Bank 2001 (Working Paper No. 75). Go to original source...
    12. Markowitz, H.: Portfolio Selection. Journal of Finance, 1948, č. 3, s. 77-91. Go to original source...

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content