J. BROŻYNA1, G. MENTEL2*
1Department of Quantitative Methods, Rzeszow University of Technology, Rzeszow, Poland.
2Department of Quantitative Methods, Rzeszow University of Technology, Rzeszow, Poland.
* Corresponding Author : gmentel@prz.edu.pl
Received : 02-12-2014 Accepted : 15-01-2015 Published : 27-01-2015
Volume : 6 Issue : 1 Pages : 252 - 258
Int J Econ Bus Model 6.1 (2015):252-258
Keywords : value-at-risk, modelling, risk, prediction, software
Conflict of Interest : None declared
This study concerns the characteristics of loss risk analysis software developed by the Authors. The VaR Calculator significantly improves estimation of value-at-risk along its determinants such as level of confidence, constant smoothing factor or the number of past observations. Its additional benefit consists in compiling several different methods of determining value-at-risk in one programme and making the computational procedures more efficient. Therefore, the calculator described provides a free, constantly updated option for predicting negative market changes and thus reducing risk.