English, Article edition: VALUE-AT-RISK AND DYNAMIC RISK MEASURES Zuzana Stuchlíková

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Bookmark: http://trove.nla.gov.au/version/196929
Physical Description
  • article
Language
  • English

Edition details

Title
  • VALUE-AT-RISK AND DYNAMIC RISK MEASURES
Author
  • Zuzana Stuchlíková
Physical Description
  • article
Notes
  • The article aims to survey recent advancements in risk management field. First a popular quantile-based risk measure Value-at-Risk (VaR), nowadays widely used to asses exposure to market and credit risk, is presented. Four different approaches are introduced, implemented and backtested on PSE index PX-50 time series. A class of so called coherent risk measures satisfying four qualities highly desired for a risk measure is propounded. As a response to VaR deficiencies several "improved" variants of VaR, some of them satisfying coherence axioms, are proposed. In the last section the motion of coherent risk measures is adapted to the multiperiod framework.
  • value-at-risk, coherent risk measure, dynamic risk measure
  • RePEc:prg:jnlaop:v:2005:y:2005:i:1:id:137:p:82-93
Language
  • English
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