Projects funded by the NCN


Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Hypothesis Testing in Market Risk Evaluation

2013/11/N/HS4/03354

Keywords:

VaR ES risk measure VaR backtesting ES backtesting correlation test Kupiec test Markov test experimental design simulation study Monte Carlo test size of the test power of the test

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny

woj. łódzkie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Marta Małecka 

Number of co-investigators in the project: 2

Call: PRELUDIUM 6 - announced on 2013-09-16

Amount awarded: 105 700 PLN

Project start date (Y-m-d): 2014-07-10

Project end date (Y-m-d): 2018-10-09

Project duration:: 51 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Drukarka (600 PLN)
  2. Laptop (5 000 PLN)
  3. Program Mathematica (10 000 PLN)
  4. Program Mathematica.
  5. Program MatLab (9 000 PLN)
  6. Program GrindEQ (700 PLN)

Information in the final report

  • Publication in academic press/journals (5)
  • Articles in post-conference publications (5)
  • Book publications / chapters in book publications (1)
  1. Spectral density tests in VaR failure correlation analysis
    Authors:
    Małecka M.
    Academic press:
    Research Papers of Wrocław University of Economics (rok: 2015, tom: 381, strony: 235-249), Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Status:
    Published
    DOI:
    10.15611/pn.2015.381.18 - link to the publication
  2. Duration-Based Approach to VaR Independence Backtesting
    Authors:
    Małecka M.
    Academic press:
    Statistics in Transition (rok: 2014, tom: 15(4), strony: 627-637), Wydawca: PTS i GUS
    Status:
    Published
  3. Extremal Risk Management: ES Value Verification by the Bootstrap Method
    Authors:
    Małecka M.
    Academic press:
    Journal of Computational Finance (rok: 2020, tom: 23(4), strony: 35-59), Wydawca: Risk.net
    Status:
    Published
    DOI:
    10.21314/JCF.2020.380 - link to the publication
  4. Testing VaR Under Basel III with Application to No-Failure Setting
    Authors:
    Małecka M.
    Academic press:
    Contemporary Trends and Challenges in Finance (rok: 2017, tom: 1, strony: 195-202), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/978-3-319-54885-2_18 - link to the publication
  5. Comparative analysis of sigma-based, quantile-based and time series VaR estimators
    Authors:
    Małecka M.
    Academic press:
    Acta Universitatis Lodziensis. Folia Oeconomica (rok: 2015, tom: 1(311), strony: 57-68), Wydawca: Wydawnictwo Uniwersytetu Łódzkiego
    Status:
    Published
    DOI:
    10.18778/0208-6018.311.07 - link to the publication
  1. Exponential Autoregressive Conditional Duration Approach to Testing VaR
    Authors:
    Małecka M.
    Conference:
    International Conference on Mathematics and Statistics ICOMS 2018 (rok: 2018, ), Wydawca: ACM
    Data:
    konferencja 15-17 lipca 2018
    Status:
    Published
  2. Evaluation of Parametric ES Tests
    Authors:
    Małecka M.
    Conference:
    34nd International Conference Mathematical Methods in Economics (rok: 2016, ), Wydawca: Technical University of Liberec
    Data:
    konferencja 6-9 września 2016
    Status:
    Published
  3. Multivariate approach to testing VaR models
    Authors:
    Małecka M.
    Conference:
    32nd International Conference Mathematical Methods in Economics (rok: 2014, ), Wydawca: Palacky University
    Data:
    konferencja 10-12 września 2014
    Status:
    Published
  4. Characterizing Market Behavior through Risk Forecasts: a Powerful VaR Backtesting
    Authors:
    Małecka M.
    Conference:
    ITISE 2018 International Conference on Time Series and Forecasting (rok: 2018, ), Wydawca: Godel Impresiones Digitales S.L.
    Data:
    konferencja 19-21 września 2018
    Status:
    Published
  5. Spectral VaR test statistical properties
    Authors:
    Małecka M.
    Conference:
    10th Professor Aleksander Zelias International Conference on Modelling and Forecasting of Socio-Economic Phenomena (rok: 2016, ), Wydawca: Foundation of the Cracow University of Economics
    Data:
    konferencja 10-13 maja 2016
    Status:
    Published
  1. Pojęcie i statystyczna ocena ryzyka rynkowego, Testy wartości zagrożonej i oczekiwanego niedoboru, Ocena własności statystycznych testów wartości zagrożonej i oczekiwanego niedoboru, Weryfikacja modeli ryzyka na przykładzie szeregów empirycznych
    Authors:
    Małecka M.
    Book:
    Weryfikacja hipotez w ocenie ryzyka rynkowego (rok: 2016, tom: 1, strony: 152), Wydawca: Wydawnictwo Uniwersytetu Łódzkiego
    Status:
    Published