New historical bootstrap value-at-risk model

In this paper, the authors present a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions. The model is labeled a new historical bootstrap VaR model, since it shares the same theoretical basis as the historical simulation (HS) and bootstrap approaches. This paper aims to answer the question of whether incorporating the bootstrap method into the HS model contributes to improving the applicability of the HS approach in terms of meeting the backtesting rules of the Basel Accord. In order to obtain an answer to this question, we test the applicability and compare the performances of the HS500 and the autoregressive moving average–generalized autoregressive conditional heteroscedasticity–BootstrapHS500 (ARMA–GARCH–BootstrapHS500) models on the capital markets of Serbia, Croatia,Greece, Spain, Germany, Slovakia, the Czech Republic, Romania and Hungary.The results of our research show that the new model performed better than the HS model. Thus, we can conclude that incorporating the bootstrap approach into the HS approach contributes to improving the applicability of the HS approach. ;