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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.16 No.3
- 발행연도
- 2017.9
- 수록면
- 400 - 414 (15page)
- DOI
- 10.7232/iems.2017.16.3.400
이용수
초록· 키워드
오류제보하기
The normal probability distribution assumption, to model price changes in Finance, belongs to the largest imperfections in the Value-at-Risk (VaR) estimation. In fact, the financial returns are rather distributed leptokurtic than normally and the empirical distributions are often skewed. In these cases, the normal distribution assumption results in over or underestimation of VaR especially when the quantiles are very high/low. Therefore, it is necessary to put emphasis on respecting the leptokurtic and skewed return distribution. In this paper, we propose a new approach for portfolio VaR estimation, which combines the standard latent factor model with the generalized quadratic autoregressive conditionally heteroskedastic model (GQARCH). This new “hybrid” specification provides an alternative, compact, model to handle co-movements, heteroskedasticity and intra-frame correlations in financial data. For maximum likelihood estimation we have used an iterative approach based on an extended version of the Kalman filter algorithm combined with the Expectation Maximization (EM) algorithm. Using a set of historical data, from the Tunisian foreign exchange market, the model parameters are estimated. Then, the fitted model combined with a modified Monte-Carlo simulation algorithm was used to predict the VaR of the Tunisian public debt portfolio. Through a Backtesting analysis, we found that this new specification produces far more accurate forecasts for the VaR compared to the mixture of factor analyzers and other competing approaches.
목차
ABSTRACT
1. INTRODUCTION
2. THE CHARACTERISTIC OF THE TUNISIAN FOREIGN EXCHANGE MARKET
3. EMPIRICAL LITERATURE AND METHODOLOGY
4. EVALUATION MODELS: BACKTESTING
5. THE DATASET: TUNISIAN FOREIGN EXCHANGE RATES
6. CONCLUSION
REFERENCES
참고문헌 (37)
참고문헌 신청
Akbar, F. and Chauveau, T. (2009), Exchange rate risk exposure related to public debt portfolio of pakistan: Application of value-at-risk approaches, SBP Research Bulletin, 5(2), 15-33.
Akhtekhane, S. S. and Mohammadi, P. (2012), Measuring exchange rate fluctuations risk using the value at risk, Journal of Applied Finance & Banking, 2(3), 65-79.
Alexander, C. (2008), Market Risk Analysis: Value at Risk Models (Vol.4), John Wiley & Sons Ltd., West Sussex PO19 8SQ, England.
Aron, J., Macdonald, R., and Muellbauer, J. (2014), Exchange rate pass-through in developing and emerging markets: A survey of conceptual, methodological and policy issues, and selected empirical findings, Journal of Development Studies, 50(1), 101-143.
Basel Committee on Banking Supervision (BCBS) (2009), International framework for liquidity risk measurement, standards and monitoring: Consultative document, December 2009, Available from: http://www.bis.org/publ/bcbs165.pdf.
Aron, J., Macdonald, R., and Muellbauer, J. (2014), Exchange rate pass-through in developing and emerging markets: A survey of conceptual, methodological and policy issues, and selected empirical findings, Journal of Development Studies, 50(1), 101-143.
Basel Committee on Banking Supervision (BCBS) (2009), International framework for liquidity risk measurement, standards and monitoring: Consultative document, December 2009, Available from: http://www.bis.org/publ/bcbs165.pdf.
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