IDEAS home Printed from https://ideas.repec.org/a/ags/sereko/288654.html
   My bibliography  Save this article

Implications of Volatility Modeling on Quantifying Market Risk

Author

Listed:
  • Martinovic, Maja

Abstract

Due to fluctuations in financial assets, market risk represents the most prevalent risk in the category of financial risks. The process of market risk management includes its quantification and control. Measure that quantifies the maximum potential loss in a given period of time with a certain statistical confidence level is the value at risk, VaR. Treating financial assets prices as a time series that could be described as a random walk with drift or returns of financial assets as a white noise typically underestimates the value at risk. Back testing shows that the estimation of the risk with variance modeled as a generalized conditional autogressive heteroscedastic (GARCH) model is a reliable method for a quantification of risk.

Suggested Citation

  • Martinovic, Maja, 2013. "Implications of Volatility Modeling on Quantifying Market Risk," Ekonomika, Journal for Economic Theory and Practice and Social Issues, Society of Economists Ekonomika, Nis, Serbia, vol. 59(1), March.
    • Handle: RePEc:ags:sereko:288654
    DOI: 10.22004/ag.econ.288654
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/288654/files/1-2013%20pages%20190-196.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.288654?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Risk and Uncertainty;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:sereko:288654. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.ekonomika.org.rs .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.