Back-testing the VaR risk measure: an empirical study

dc.contributor.advisor	Pärna, Kalev, juhendaja
dc.contributor.author	Ola-Adua, Ibraheem Olanrewaju
dc.contributor.other	Tartu Ülikool. Loodus- ja täppisteaduste valdkond	et
dc.contributor.other	Tartu Ülikool. Matemaatika ja statistika instituut	et
dc.date.accessioned	2017-07-05T07:54:27Z
dc.date.available	2017-07-05T07:54:27Z
dc.date.issued	2017
dc.description.abstract	This thesis verifies the worst case losses (Value-at-Risk) of financial returns over a specified time period with a certain level of confidence. The measurement of VaR hinges on the distribution of investment returns. In order to test whether or not the VaR model accurately represents reality, back-testing is carried out for one day horizon for a yearly rolling window. The standard VaR parametric model which is based on normal distribution of returns is tested on real data. Findings are that this model is better for historical VaR estimation for bigger exceedance probabilities such as 5%, 1%, 2% etc, while the Student’s t-distribution seems to be better for smaller exceedance probabilities such as 0.5%, 0.1% etc.	en
dc.identifier.uri	http://hdl.handle.net/10062/57100
dc.language.iso	eng	et
dc.publisher	Tartu Ülikool	et
dc.subject	Value-at-Risk	en
dc.subject	parametric methods	en
dc.subject	return distribution	en
dc.subject	riski all olev väärtus	et
dc.subject	tulususe jaotus	et
dc.subject	parameetriline meetod	et
dc.title	Back-testing the VaR risk measure: an empirical study	en
dc.type	Thesis	en

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