Ewolucja metod oceny ryzyka rynkowego

• Authors: Grażyna Trzpiot

Title variants

EN

Evolution of Estimation Methods of the Market Risk

• Languages of publication: PL

Abstracts

EN

By experience of the last financial crises new principles of setting reserves in order to secure risky investments were implemented. The security level depends from the type of investment as well as from the accepted measure of the risk. Conventional approach mean-variance isn't appropriate to the present market situation in the description and the inspection of the level of risk, so institutionally appropriately accepted other measures of the risk are proposed. In the article we will present stress VaR and the IRC (Incremental Risk Charge). We will describe the relation additionally between the linear and nonlinear measurement of the risk in connecting with the level of risk and the type the schedule of a random variable describing examined investment.

Keywords

PL

Pomiar ryzyka; Ryzyko inwestycyjne; Zabezpieczenie przed ryzykiem; Zmienne losowe

EN

Hedge against the risk; Investment risk; Random variable; Risk measures

• Publisher: Uniwersytet Ekonomiczny w Katowicach
• Journal: Studia Ekonomiczne
• Year: 2014
• Volume: 192
• Pages: 31-43

Contributors

author

Grażyna Trzpiot

References

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Identifiers

ISSN

2083-8611