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dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorHlávka, Zdeněken
dc.contributor.authorStahl, Gerharden
dc.date.accessioned2006-05-29-
dc.date.accessioned2009-07-23T14:43:26Z-
dc.date.available2009-07-23T14:43:26Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2006,003en
dc.subject.jelC51en
dc.subject.jelC52en
dc.subject.jelG20en
dc.subject.ddc330en
dc.subject.keywordValue-at-Risken
dc.subject.keywordmarket index modelen
dc.subject.keywordprincipal componentsen
dc.subject.keywordrandom effects modelen
dc.subject.keywordprobability forecast.en
dc.subject.stwModell-Spezifikationen
dc.subject.stwTheorieen
dc.titleOn the appropriateness of inappropriate VaR models-
dc.type|aWorking Paperen
dc.identifier.ppn512458723en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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