03312ntm a22005177i 4500 000658772 CZ-PrVSE 20200209092947.0 m d cr n|||||||||| 200209s2019 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Nováková, Kateřina ISIS:107282 dis Score-driven models for Value at Risk and Expected Shortfall eng Score-driven Models for Value at Risk and Expected Shortfall / Kateřina Nováková 2019 ?? stran : digital, PDF soubor Vedoucí práce: Petra Tomanová Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2020 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2020 The aim of this thesis is volatility estimation and estimates’ comparison of financial risk measures, which are specially Value at Risk (VaR) and Expected Shortfall (ES) for four world market price indices. Models of conditional heteroskedasticity are utilized. Generalized Autoregressive Score (GAS) models are applied since they are able to describe the probability density of observations in a more complex way than Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. Furthermore, they lead to more adequate estimates. VaR and ES estimates are backtested using rolling windows, which calculate one-step ahead predictions based on estimated parameters of GAS model. Parameters can be estimated in each step or in every k-step. The main contribution of this thesis is to study the impact of the length of the refit step of parameters for rolling windows in GAS models followed by comparison of estimated values of VaR and ES using Dynamic quantile (DQ) test and calculating the loss functions. The results showed that the length of the refit step does not significantly influence estimates of VaR and ES for GAS models with the Student’s t distribution. However, it underestimates values of VaR and ES significantly in the periods of price shocks for GAS models with the Gaussian distribution. Způsob přístupu: Internet ekonometrie a operační výzkum [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas rolling window Expected Shortfall GAS model Value at Risk Volatility Tomanová, Petra ISIS:85567 ths Formánek, Tomáš ISIS:46723 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/70332/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/70332 Hlavní práce https://insis.vse.cz/zp/70332/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/70332/posudek/oponent/64810 Oponentura https://insis.vse.cz/zp/70332/podrobnosti dc:identifier NEPOSILAT VSKP vse70332 200205 70332