Does the Square-root-of-time Rule lead to adequate Values in the Risk Management? - an actual Analysis

Varování

Publikace nespadá pod Filozofickou fakultu, ale pod Ekonomicko-správní fakultu. Oficiální stránka publikace je na webu muni.cz.

Autoři	SVOBODA Martin REUSE Svend
Rok publikování	2013
Druh	Článek ve sborníku
Konference	Finanční řízení podniků a finančních institucí. 9th International Scientific Conference Proceedings Part II.
Fakulta / Pracoviště MU	Ekonomicko-správní fakulta
Citace
Obor	Ekonomie
Klíčová slova	VaR; square-root-of-time rule; risk; autocorrelation; historical simulation
Popis	Measuring risk always leads to the aspect that a certain time horizon has to be defined. The square-root-of-time rule is a well-known and simple approach to scale risk onto certain holding periods. In addition, the autocorrelation effect is discussed often in theory and practice. This article tries to answer the question, whether the square-root-of-time rule is able to scale risk onto a defined holding period. In this context, a differentiation between price and total return indices is done. In the end, a concrete hint for the possibility to use the square-root-of-time rule shall be given.
Související projekty:	Evropské finanční systémy 2013