Matjaž Žunko (Author), Drago Bokal (Author), Timotej Jagrič (Author)

Abstract

V članku analiziramo različne metode VaR in za vsako od njih opredelimo prednosti in slabosti, upoštevajoč časovni horizont, kompleksnost, potrebne vire, način poročanja o rezultatih in dodatnih zahtevah (npr. regulatornih). Ugotavljamo, da izbran nabor metod ne more biti zadostna podlaga za odločitve pri obvladovanju tveganj, saj te pogosto dajejo izrazito podcenjene napovedi tveganja. Taka ugotovitev je verjetno nasprotujoča si, vendar je VaR ustrezna mera le v normalnih tržnih okoliščinah in ob veljavnosti večjega števila predpostavk. Kakovost napovedi VaR je namreč odvisna od veljavnosti predpostavk, na katerih temelji. Razlaga rezultatov mora zato vedno vključevati tudi razpravo o predpostavkah, kar pa mnogi kritiki metod VaR pozabljajo.

Keywords

trg vrednostnih papirjev;vrednost;tveganje;testiranje;metode;simulacija;

Data

Language: Slovenian
Year of publishing:
Typology: 1.01 - Original Scientific Article
Organization: UM EPF - Faculty of Economics and Business
Publisher: Zavod Republike Slovenije za makroekonomske analize in razvoj
UDC: 336.76
COBISS: 10777884 Link will open in a new window
ISSN: 1318-2803
Parent publication: IB revija
Views: 277
Downloads: 11
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Other data

Secondary language: English
Secondary abstract: In this article, we review various VaR approaches and derive the pros and cons of each methodology in terms of time horizon, complexity, resources, level of reporting, and specific needs (for example, regulatory requirements). In our view, the risk management process should not rely heavily on VaR calculations, since they may quite often underestimate risk. This may seem like a controversial statement, but VaR is only valid under normal market conditions and with a series of theoretical assumptions. Therefore, it must always be interpreted within this set of assumptions. That is something that most VaR critics forget too easily.
URN: URN:NBN:SI:DOC-EXDJLO60
Type (COBISS): Not categorized
Pages: str. 57-67
Volume: Letn. 45
Issue: št. 3
Chronology: 2011
ID: 1728271