Assessment Methods for Measuring Value at Risk Based on the Hit Function

• Published in: Электронное моделирование
• Date: 2009
• Main Author: Skrodzka, W.
• Format: Article
• Language: English
• Published: Інститут проблем моделювання в енергетиці ім. Г.Є. Пухова НАН України 2009
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/101528
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: Assessment Methods for Measuring Value at Risk Based on the Hit Function / W. Skrodzka // Электронное моделирование. — 2009. — Т. 31, № 6. — С. 55-64. — Бібліогр.: 9 назв. — англ.

The aim of this paper is to provide tools to aid the management process of Financial Risk. Backtesting is the necessary procedure to choose and to evaluate the stability of a value at risk (VaR) models. This paper presents some typical, statistical methods based on the hit function. Advantages and d...