Acta Oeconomica Pragensia 2005, 13(1):112-118 | DOI: 10.18267/j.aop.142

Risk Measures and Dynamical Systems

Karel Vaníček
Mgr. Karel Vaníček - student of doctoral study; Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University in Prague, Ke Karlovu 3, 121 16 Prague 2, karel.vanicek@cnb.cz

The paper is concerned with the dynamic risk measures, e.g. with the estimation of the dynamic VaR and the dynamic ES. After general introduction into the problematic of risk management we describe the methods that are essential for the whole estimation and computation process. At first we introduce very popular time series ARMA-GARCH models and also comment the assumptions of the model that seems to be unrealistic. Due to this fact we introduce EVT models, specifically the POT model. The POT model is able to approximate the far ends of distribution, which are crucial for the estimation equation of quantile based measures. In the last but not least paragraph there is direct estimation of both the dynamic VaR and the dynamic ES. In the last paragraph we discuss possible shortcomings of the proposed model for longer time horizon of prediction and the topic for possible research is indicated.

Keywords: GARCH, EVT, VaR, ES
JEL classification: G30

Published: March 1, 2005  Show citation

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Vaníček, K. (2005). Risk Measures and Dynamical Systems. Acta Oeconomica Pragensia, 13(1), 112-118. doi: 10.18267/j.aop.142
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    References

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