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LES PREVISIONS STATIQUES ET DYNAMIQUES DES VALEURS A RISQUE (VaR) DES ACTIONS DE BANQUE : LE MODELE DE DEPASSEMENTS DE SEUIL (POT) ET LES MODELES DE SCORE AUTOREGRESSIFS GENERALISES (GAS)
2019
Journal:  
Asos Journal
Author:  
Abstract:

Le calcul de la valeur à risque des actifs est un moyen fréquemment utilisé pour mesurer le risque financier. Les Valeurs à Risque peuvent être évaluées et interprétées dans le cadre de la théorie des valeurs extrêmes en raison des valeurs excessives dues aux incertitudes des rendements. Dans cette étude, les prévisions statiques et dynamiques de la VaR des actions de cinq banques opérant sur les marchés des pays développés et en développement sont établies à l'aide des modèles POT et GAS, respectivement. Le nombre des valeurs extrêmes requises pour l'estimation du modèle POT a été calculé séparément en utilisant les méthodes de racine carrée et 10% du nombre total de données, qui sont deux méthodes pratiques dans la littérature. Les résultats ont été interprétés séparément. De plus, les modèles GAS basés sur la distribution normale et celle de student - t et de student - t asymétrique ont été estimés et comparés les uns aux autres.

Keywords:

Static and Dynamic Predictions Of Risk Values (var) Of Bank Stocks : Peaks – Over – Threshold Model and Generalized Autoregressive Score Models
2019
Journal:  
Asos Journal
Author:  
Abstract:

The calculation of the value at risk of assets is a frequently used means of measuring financial risk. Risk Values may be valued and interpreted within the framework of extreme value theory because of excessive values due to uncertainties in returns. In this study, the static and dynamic VaR forecasts of the stocks of five banks operating in developed and developing country markets are determined using the POT and GAS models, respectively. The number of extreme values required for the estimation of the POT model was calculated separately using square root and 10% of the total number of data, which are two practical methods in the literature. The results were interpreted separately. In addition, GAS models based on normal, student-t and asymmetric student-t distributions were estimated and compared to each other.

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Asos Journal

Field :   Eğitim Bilimleri; Filoloji; Güzel Sanatlar; Hukuk; İlahiyat; Sosyal, Beşeri ve İdari Bilimler; Spor Bilimleri

Journal Type :   Uluslararası

Metrics
Article : 5.146
Cite : 9.758
2023 Impact : 0.075
Asos Journal