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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
Classical
And Novel Risk Measures For A Stock Index On A Developed Market |
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Authors: |
Julia Timea
Nagy, Balint Zsolt Nagy, Jacint Juhasz |
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Published in:
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(2016).ECMS 2016 Proceedings edited
by: Thorsen Claus, Frank Herrmann, Michael Manitz, Oliver Rose, European Council for Modeling and
Simulation. doi:10.7148/2016 ISBN:
978-0-9932440-2-5 30th
European Conference on Modelling and Simulation, Regensburg Germany, May 31st
– June 3rd, 2016 |
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Citation
format: |
Julia Timea
Nagy, Balint Zsolt Nagy, Jacint Juhasz (2016). Classical
And Novel Risk Measures For A Stock Index On A Developed Market, ECMS 2016
Proceedings edited by: Thorsten Claus, Frank Herrmann, Michael Manitz, Oliver Rose European
Council for Modeling and Simulation. doi:10.7148/2016-0166 |
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DOI: |
http://dx.doi.org/10.7148/2016-0166 |
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Abstract: |
In the present article we conduct an
inquiry into several different risk measures, illustrating their advantages
and disadvantages, regulatory aspects and apply them on a stock index on a
developed market: the DAX index. Specifically we are talking about Value at
Risk (VaR), which is now considered a classical
measure, its improved version, the Expected Shortfall (ES) and the very novel
Entropic Value at Risk (EVaR).
The applied computation methods are yielding robust results. The obtained
values are put into the context of the relevant literature, and pertinent
conclusions are formulated, especially regarding regulatory applications. |
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