Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/224735 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
CEPIE Working Paper No. 04/20
Verlag: 
Technische Universität Dresden, Center of Public and International Economics (CEPIE), Dresden
Zusammenfassung: 
When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases, this leads to a reduction in VaR and thus to lower own funds requirements for credit institutions. However, in the exponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated when using exponential weighting and the VaR may be underestimated. To prevent this, credit institutions or Alternative Investment Fund Managers are not completely free to choose a weighting (decay) factor. This article describes the legal requirements and deals with the calculation of the permissible weighting factor. As an example we use the exchange rate between Euro and Polish zloty to estimate the Value-at-Risk. We show the calculation of the weighting factor with two different approaches. This article also discusses exceptions to the general legal requirements
Schlagwörter: 
risk management
market risk
exponentially weighted moving average
weighting scheme
Value-at-Risk
JEL: 
C22
G18
G28
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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