CONSTRUCTION AND APPLICATION OF THE CLASSIFICATION SCHEME OF DYNAMIC RISK MEASURES ESTIMATING

Анотація

The most popular methods for dynamic risk measures – Value-at-Risk (VaR) and Conditional VaR (CVaR) estimating were analyzed, description and comparative analysis of the methods were fulfilled, recommendations on the use were given. Results of the research were presented in the form of a classification scheme of dynamic risk measures estimating that facilitates the choice of an estimation method. The GARCH-based models of dynamic risk measures VaR and CVaR evaluation for artificially generated series and two time series of log return on a daily basis of the most well-known Asian stock indexes Nikkey225 Stock Index and CSI30 were constructed to illustrate the effectiveness of the proposed scheme. A qualitative analysis of the proposed models was conducted. To analyze the quality of the dynamic VaR estimations the Cupets test and the Cristoffersen test were used. For CVaR estimations the V-test was used as quality test. The tests results confirm the high quality of obtained estimations. The proposed classification scheme of dynamic risk measures VaR and CVaR estimating may be useful for risk managers of different financial institutions.

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