PL EN


2018 | 2 | 183-198
Article title

Pomiar ryzyka rynkowego miarą wartoś​ci zagrożonej. Metoda kombinowania prognoz ​

Authors
Content
Title variants
Languages of publication
PL
Abstracts
PL
The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure is an important element of risk measurement mainly for financial institutions but can also be used by other companies. The Value at Risk is presented together with its alternative Conditional Value at Risk. The main methods of VaR estimation were divided into nonparametric, parametric and semi-parametric methods. The next part of the article presents a method of combining forecasts, which can be used in the context of forecasting Value at Risk.
Year
Issue
2
Pages
183-198
Physical description
Dates
published
2018-11-29
Contributors
author
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.ojs-doi-10_33119_KKESSiP_2018_2_9
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.