The preferred level of confidence for behavioral DyLaR can be determined from the
analysis of past projections over the desired period of 6, 12 or 24 months. For
methodological purposes the adoption of the 12-month period or 250 working days
would be in line with current methods of VaR analysis. Periodically the projected
upper and lower DyLaR values will lie outside of the desired Lk and Hk envelope, as
should be the case for any quantile selection of less than 100%. This leads to the
requirement of a self-correcting mechanism for any forecast of behavioral DyLaR.
Under these circumstances, the previously maximum quantile value *Hk is selfrepairing,
since for cobò1 the maximum value for *HkóCexpected (D,m, k)ñCreal(D, k, k)
is replaced by the *Hk calculated for cobñ1. Should a significant change occur in
the cash flows of any portfolio the result will be a spreading of the cumLk/cumHk
envelope leading to a more cautious estimate.
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