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2005•Acta Oeconomica PragensiaOpen access

Value-at-Risk and Dynamic Risk Measures

Zuzana Stuchlíková

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Abstract

The article aims to survey recent advancements in risk management field. First a popular quantile-based risk measure Value-at-Risk (VaR), nowadays widely used to asses exposure to market and credit risk, is presented. Four different approaches are introduced, implemented and backtested on PSE index PX-50 time series. A class of so called coherent risk measures satisfying four qualities highly desired for a risk measure is propounded. As a response to VaR deficiencies several "improved" variants of VaR, some of them satisfying coherence axioms, are proposed. In the last section the motion of coherent risk measures is adapted to the multiperiod framework.

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The article aims to survey recent advancements in risk management field. First a popular quantile-based risk measure Value-at-Risk (VaR), nowadays widely used to asses exposure to market and credit risk, is presented. Four different approaches are introduced, implemented and backtested on PSE index PX-50 time series. A class of so called coherent risk measures satisfying four qualities highly desired for a risk measure is propounded. As a response to VaR deficiencies several "improved" variants of VaR, some of them satisfying coherence axioms, are proposed. In the last section the motion of coherent risk measures is adapted to the multiperiod framework.

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Available abstract

The article aims to survey recent advancements in risk management field. First a popular quantile-based risk measure Value-at-Risk (VaR), nowadays widely used to asses exposure to market and credit risk, is presented. Four different approaches are introduced, implemented and backtested on PSE index PX-50 time series. A class of so called coherent risk measures satisfying four qualities highly desired for a risk measure is propounded. As a response to VaR deficiencies several "improved" variants of VaR, some of them satisfying coherence axioms, are proposed. In the last section the motion of coherent risk measures is adapted to the multiperiod framework.

Key concepts: Coherent risk measure, Risk measure, Dynamic risk measure, Value at risk, Risk management, Quantile, Measure (data warehouse), Time consistency

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