PL EN


2014 | 192 | 31-43
Article title

Ewolucja metod oceny ryzyka rynkowego

Content
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.
Year
Volume
192
Pages
31-43
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-df597c8d-2fbd-44a2-884d-d5294edfb1ca
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