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

• Authors: Piotr Mazur
• 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.

Keywords

PL

Value at Risk, VaR, market risk measurement, combining forecasts

• Publisher: Szkoła Główna Handlowa w Warszawie
• Journal: Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace
• Year: 2018
• Issue: 2
• Pages: 183-198

Dates

published

2018-11-29

Contributors

author

Piotr Mazur

Identifiers

DOI

10.33119/KKESSiP.2018.2.9