Evaluation of Operating Characteristics of Hybrid Approach of Calculating Value at Risk
Date Issued
2007
Date
2007
Author(s)
Huang, Yi-Ta
DOI
en-US
Abstract
VaR(Value at Risk) is a method of assessing risk that uses standard statistical techniques routinely used in other technical fields. In this thesis, we focus on finding the characteristics of hybrid approach proposed in Boudokh,
Richardson and Whitelaw (1998) which is a nonparametric approach for estimating VaR. Under some regular conditions, we prove that the resulting
estimator is not consistent. We then propose a modified approach, which is called the modified hybrid approach, to increase its precision. We also demonstrate the pros and cons of the hybrid approach and modified hybrid approach by using some evaluation criteria under various different models and some empirical datas.
Subjects
風險值
複合法
校正複合法
歷史模擬法
Value at Risk
hybrid approach
modified hybrid approach
historical simulation
Type
thesis
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