Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  STOCHASTIC BOUNDS
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1

Zastosowanie funkcji łączących w wyznaczaniu granic dla Value-at-Risk

100%
Szkutnik T.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
|
2012
|
issue 895
59-70
EN
The subject of the article concerns bank risk generally and addresses the problem of determining relevant limits for the VaR risk measure at the aggregated level for dependent random variables whose joint multidimensional distribution function is unknown. The information about the dependencies between the random variables is regarded as partial, which allows for the introduction of limiting conditions for the unknown distribution function and the determination of limits for VaR. The dependences among the random variables were introduced on the ground of copula function theory. Limits for the aggregated VaR value were determined on the basis of Williamson and Downson numerical algorithm by means of the programme MATLAB.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.