A comparison of selected value-at-risk models using risk management techniques for determinig model accuracy
2010
Abstract
In this paper we compare the most prominent nonparametric, parametric and semi-parametric Value-at-Risk (VaR) models for two portfolios - one long and the other short on the Prague Stock Exchange (PX) index. In the nonparametric class we investigate the historical simulation and the weighted historical simulation methods.
Out of the various parametric approaches that have been proposed in the literature, we examine the GARCH-type models. In the semi-parametric category we focus on the filtered historical simulation method and models based on the extreme value theory.