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Comparison of Alternative Approaches to VaR Evaluation

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The main goal of this article is to present alternative methods of market risk
measurement in Polish banking sector with popular Value at Risk (VaR)
approach. Four main methods: analytical, historical, simulation and hybrid
(Filtered Historical Simulation, FHS) of VaR are presented and then three
of them are applied to evaluate interest risk stemming from government
bonds’ portfolio held by Polish banks. Adequacy of VaR measures counted
with particular methods is compared with the help of formalized criteria
and best fitted methodology is recommended.

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English

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