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Wartość zagrożona instrumentu finansowego szacowana przedziałowo
Confidence interval for Value at Risk

Author(s): Daniel Iskra
Subject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: Value at Risk; interval forecast; financial risk

Summary/Abstract: Calculating Value at Risk from assumed probability distribution is associated with the estimation of the parameters of this distribution. Estimators of these parameters are random variables. This fact allows us to calculate confidence intervals for Value at Risk. In the article, the author calculated confidence intervals for VaR, in case, where the share’s price is described by Geometric Brownian Motion.

  • Issue Year: 2012
  • Issue No: 254
  • Page Range: 74-82
  • Page Count: 9
  • Language: Polish