Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25086
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dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorHlávka, Zdeněken_US
dc.contributor.authorStahl, Gerharden_US
dc.date.accessioned2006-05-29en_US
dc.date.accessioned2009-07-23T14:43:26Z-
dc.date.available2009-07-23T14:43:26Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/25086-
dc.description.abstractThe Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index, the principal components model and the model with equally correlated risk factors. The comparison of these models in Chapter 3 is based on the literatere on the verification of weather forecasts (Murphy and Winkler 1992, Murphy 1997). Some considerations on the quantitative analysis are presented in the fourth chapter. In the last chapter, we present empirical analysis of the DAX data using XploRe.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2006,003en_US
dc.subject.jelC51en_US
dc.subject.jelC52en_US
dc.subject.jelG20en_US
dc.subject.ddc330en_US
dc.subject.keywordValue-at-Risken_US
dc.subject.keywordmarket index modelen_US
dc.subject.keywordprincipal componentsen_US
dc.subject.keywordrandom effects modelen_US
dc.subject.keywordprobability forecast.en_US
dc.subject.stwModell-Spezifikationen_US
dc.subject.stwTheorieen_US
dc.titleOn the appropriateness of inappropriate VaR modelsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn512458723en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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