论文标题
Eine Empirische分析了Skalierung von危险价值的Schaetzungen
Eine empirische Analyse der Skalierung von Value-at-Risk Schaetzungen
论文作者
论文摘要
在实践中，通常使用“时间规则的平方根”来缩放较长持有期的价值风险（VAR）。确定较短的保留期，然后根据所需的保持期来缩放。例如，巴塞尔规则允许银行按十平方根扩大1天的VAR，以确定10天的VAR。从这一论文的结果可以看出，缩放还可以提供VAR的良好和准确的估计。但是，考虑到，根据所涉及的方法或数据集，可能会对风险供应产生重大影响，这可能更为重要。特别是，由于缩放并不总是避免在一段时间内频繁地进行超过VAR估计的损失的发生。总体而言，应重新考虑使用法规框架中时间规则的平方根的许可。
In practice, the value-at-risk (VaR) for a longer holding period is often scaled using the 'square root of time rule'. The VaR is determined for a shorter holding period and then scaled up according to the desired holding period. For example, the Basel rules allow banks to scale up the 1-day VaR by the square root of ten to determine the 10-day VaR. It can be seen from the results of this thesis that scaling can also provide good and accurate estimates of VaR. However, it is probably much more important to consider that, depending on the methods or data set involved, there may also be significant consequences for risk provisioning. Particularly, since scaling does not always avoid the occurrence of losses that exceed the VaR estimate on a frequent basis over a period of time. Overall, the permission to use the square root of time rule in the regulatory framework should be reconsidered.
