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Journal
2013 | 3(41) | 113-130
Article title

Modelling extreme market risk of polish banks’ debt instruments’ portfolios

Content
Title variants
Languages of publication
EN
Abstracts
EN
The main goal of this article is to present extreme market risk evaluation methods which go beyond the standard Value at Risk methodology. Two main approaches: Expected Tail Loss (ETL) and Extreme Value Theory (EVT) are presented and then applied to simulate interest risk stemming from government debt portfolio held by Polish banks. The two methods seem to be very useful to estimate real market risk exposures during the times of distress on the financial markets.
Journal
Year
Issue
Pages
113-130
Physical description
Contributors
  • University of Warsaw, National Bank of Poland
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-ceb5eef4-bfcd-4bb7-8a9d-f74b684af900
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