Autokorrelationen bei der Messung von Marktpreisrisiken (Autocorrelations in Market Price Risk Assessment)

12 Pages Posted: 30 Sep 2013

See all articles by Bernhard Kuebler

Bernhard Kuebler

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)

Peter Ruckdeschel

University of Oldenburg - School of Mathematics and Science

Date Written: September 24, 2013

Abstract

Wir beschäftigen uns mit dem Auftreten von Autokorrelationseffekten bei der Messung langfristiger Markrpreisrisiken. Dazu diskutieren wir zwei verbreitete Methoden der Value at Risk (VaR) Schätzung, nämlich die Historische Simulation und die Wurzel-t-Regel. Beide Verfahren werden aufgrund theoretischer und empirischer Analysen beurteilt. Als Haltedauer wählen wir 1 Jahr.

We consider the occurrence of autocorrelation effects when measuring long term market price risk. To this end, we discuss two methods of VaR estimation: Historical Simulation and the square-root-of-time rule. Both methods are investigated on the basis of theoretical and empirical analyses. Our holding period amounts to 1 year.

Note: Downloadable document is in German.

Keywords: market price risk, Value at Risk, Autocorrelation, Historical Simulation, Square-root-of-time rule

JEL Classification: C51, C52, C53, G21, G23

Suggested Citation

Kuebler, Bernhard and Ruckdeschel, Peter, Autokorrelationen bei der Messung von Marktpreisrisiken (Autocorrelations in Market Price Risk Assessment) (September 24, 2013). Available at SSRN: https://ssrn.com/abstract=2330334 or http://dx.doi.org/10.2139/ssrn.2330334

Bernhard Kuebler (Contact Author)

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM) ( email )

Fraunhofer-Platz 1
67663 Kaiserslautern, 67663
Germany

Peter Ruckdeschel

University of Oldenburg - School of Mathematics and Science ( email )

PO box 2503
Oldenburg, 26111
Germany

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