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Value at Risk yang memperhatikan sifat statistika distribusi return

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Situngkir, Hokky

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Abstract

Basel II Accord implicitely demands the usage of the recent statistical approaches to enrich the risk measurement in financial analysis. A widely known aspect in risk analysis today is the Value at Risk. We showed that the conventional VaR measurement regarding to the usage of normality as a basic principles is not met with the statistical properties discovered in a lot of financial data showing a-normality. The paper shows the comparative analysis of two methods to measure VaR: the one with normality basis and the other one realizing the two statistical moments, i.e.: skewness and kurtosis. The simulation results show that the latter gives better accuracy.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 895.

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Date of creation: 27 Apr 2006
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Handle: RePEc:pra:mprapa:895

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Find related papers by JEL classification:
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Donald R. Davis & David E. Weinstein, 2004. "A Search for Multiple Equilibria in Urban Industrial Structure," NBER Working Papers 10252, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Kohnert, Dirk, 1995. "New Markets for Local Experts in Africa?," MPRA Paper 5661, University Library of Munich, Germany. [Downloadable!]
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  3. Frankel, David M. & Pauzner, Ady, 2002. "Expectations and the Timing of Neighborhood Change," Journal of Urban Economics, Elsevier, vol. 51(2), pages 295-314, March. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Situngkir, Hokky & Surya, Yohanes, 2006. "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper 896, University Library of Munich, Germany. [Downloadable!]
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