Theoretical and Applied Economics
No. 4 / 2006 (499)
The Adjustment of VaR to the Empirical Distribution of Returns
Academia de Studii Economice Bucuresti
Abstract. Basel II Recommendations concerning internal rating based models approach for financial institutions and the success of RiskMetrics made Value-at-Risk (VaR) is the most important risk measurement instrument at international level. The objective of this paper is to address the problem of adapting this method to the statistical properties of the returns for portfolios that include derivatives in the form of options too. We assume that the returns for the analyzed portfolios are not normally distributed. The methodologies presented are the ones used to capture the percentile when returns follow the features of the empirical distributions reviewed in Cont (2001).
Contents
Cognitive Economics – a Challenge for Romania
Romania's Accession to Second Modernity. Potential of Convergence
The Adjustment of VaR to the Empirical Distribution of Returns
Models and Rules of Evaluation in International Accounting
Epistemological Suggestions in „Entropy Low and Economic Process”
Recognition and Evaluation of Assets Depreciation – Influences on Financial Reports
Jobs Decline – a Tragedy of the XXI Century?
Interaction between Economic Education and Strategic Planning in the New Complexity of the Social Life
Sustainable Utilization Model of Natural Resources in Danube Delta
External Balance Payments – Macroeconomic Analysis Instrument