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    Wyświetlanie 1-8 z 8
    Tytuł:
    Weryfikacja historyczna modeli wartości zagrożonej – zastosowanie wybranych metod dla rynku polskiego w okresie kryzysu finansowego
    Backtesting of value at risk measures − analysis of selected methods based on the example of Polish market during financial crisis
    Autorzy:
    Lusztyn, Marek
    Powiązania:
    https://bibliotekanauki.pl/articles/425137.pdf
    Data publikacji:
    2013
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    Value at Risk
    VaR
    backtesting
    Opis:
    Several banks use internal Value at Risk models to measure market risk and to calculate regulatory capital necessary to cover that risk. Backtesting is a statistical tool that allows differentiating precise and imprecise risk models. The objective of this paper is to backtest selected Value at Risk models in a period preceding and during the financial crisis, based on the example of Polish currency, equity and bond markets. The obtained results do not justify unequivocal statistical acceptance of any of the analyzed models. This in turn suggest extreme caution in using Value at Risk as the only quantitative risk management tool. Stable and cautious risk management of a financial institution calls for supplementing Value at Risk with alternative risk measures.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 4(42); 117-129
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    A note on VAR for the winner’s curse
    Autorzy:
    Palmowski, Zbigniew
    Powiązania:
    https://bibliotekanauki.pl/articles/569850.pdf
    Data publikacji:
    2017
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    Winner's curse
    value at risk
    order statistics
    Opis:
    This paper is an introduction to the concept and methodology of Value at Risk as a new tool for measuring exposure to the so-called winner’s curse risk. This expression was first used in the work of [Capen, Clapp, Campbell 1971] related to the oil companies, and it is usually introduced by the elementary example of the auctioning of a sealed jar with coins. The bidders cannot exactly know the value of the jar, they can just estimate it by looking at it from a distance. Usually the winner is the bidder who overestimates the value of jar the most, but actually he/she loses because of paying more than he/she receives in the jar. The same happens in insurance aggregators, but here the lowest price wins (we have then the so-called reversed auction). Traditionally, insurance companies have tried to offer insurance prices at the level of the expected value of the future costs (including all operational costs and expected profit) but now the winning company very likely is not getting enough premium to cover the assumed risk. In the case bankrupcy, this compnay will have to then face so-called winner’s curse. In this paper we analyse a few numerical examples
    Źródło:
    Ekonomia XXI Wieku; 2017, 3 (15); 124-134
    2353-8929
    Pojawia się w:
    Ekonomia XXI Wieku
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Metoda oceny ryzyka realizacji oprogramowania do wspomagania działalności przedsiębiorstwa na przykładzie oprogramowania typu Open Source
    The risk assessment method as a support for IT enterprise management using Open Source projects as an example
    Autorzy:
    Kieruzel, Magdalena
    Powiązania:
    https://bibliotekanauki.pl/articles/431868.pdf
    Data publikacji:
    2014
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    IT project
    Value at Risk
    risk assessment method
    Opis:
    The article presents the idea and design of the original method and its implementation associated with the valuation of risks in IT projects. This new method is based on the adaptation of the VaR approach. The article shows the issues of risk analysis in software production, the original proposition of risk assessment model of software projects, as well as the verification of the model. The paper takes into account in particular: high volatility of environment, multi-step nature of the activities with the participation of a large number of people, high complexity of project's tasks and the lack of risk validation in methodology for the implementation of IT projects.
    Źródło:
    Informatyka Ekonomiczna; 2014, 1(31); 259-268
    1507-3858
    Pojawia się w:
    Informatyka Ekonomiczna
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Review of Value at Risk estimation methods
    Autorzy:
    Stefaniak, Radosław
    Powiązania:
    https://bibliotekanauki.pl/articles/583606.pdf
    Data publikacji:
    2018
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    Value at Risk
    estimation
    backtesting
    investment portfolio
    Opis:
    On a daily basis, managers in risk management teams use a number of methods to manage various types of risk. One of the most popular methods of measuring market risk is Value at Risk. Estimation of Value at Risk gives a possibility to determine a loss, which can occur or can be exceeded with a given probability and tolerance level. Moreover, this measure of risk shows in just one number entire risk of the portfolio. In addition, various methods and probability distributions can be used to estimate Value at Risk. A goal of this paper is the evaluation of Value at Risk estimation methods on the basis of backtesting results. In the empirical part, the data for 4 investment portfolios was used. The portfolios were diversified in terms of geographic location of firms that were taken into consideration.
    Źródło:
    Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2018, 519; 173-183
    1899-3192
    Pojawia się w:
    Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Modelling extreme market risk of polish banks’ debt instruments’ portfolios
    Autorzy:
    Łupiński, Marcin
    Powiązania:
    https://bibliotekanauki.pl/articles/425276.pdf
    Data publikacji:
    2013
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    market risk
    Value at Risk
    Expected Tail Loss
    Extreme Value Theory
    Opis:
    The main goal of this article is to present extreme market risk evaluation methods which go beyond the standard Value at Risk methodology. Two main approaches: Expected Tail Loss (ETL) and Extreme Value Theory (EVT) are presented and then applied to simulate interest risk stemming from government debt portfolio held by Polish banks. The two methods seem to be very useful to estimate real market risk exposures during the times of distress on the financial markets.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 3(41); 113-130
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Monte Carlo simulation approach to calculate Value at Risk: application to WIG20 and mWIG40
    Autorzy:
    Pasieczna, Aleksandra Helena
    Powiązania:
    https://bibliotekanauki.pl/articles/947638.pdf
    Data publikacji:
    2019
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    Monte Carlo
    Value at Risk
    WIG20
    mWIG40
    Kupiec
    simulations
    Opis:
    This paper reports our estimates of the Value at Risk using Monte Carlo simulations for which we developed a computer program. Our approach involves obtaining Monte Carlo parameters by fitting real historical data of different periods to probability distributions. We applied the algorithm to the WIG20 and mWIG40 stock indices, and performed simulations for the Value at Risk at 95% and 99% confidence intervals over six estimation periods ranging from 1 trading day to 250 trading days. This approach was evaluated using the percentage failures and the Kupiec Proportion of Failures test. Our results indicate that this method is highly influenced by the choice of past historical and estimation period lengths considered. Overall, we observed that the Monte Carlo computational scheme is a reliable method for quantifying VaR when parametrized well.
    Źródło:
    Financial Sciences. Nauki o Finansach; 2019, 24, 2; 61-75
    2080-5993
    2449-9811
    Pojawia się w:
    Financial Sciences. Nauki o Finansach
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Forecast of prices and volatility on the day ahead market
    Autorzy:
    Ganczarek-Gamrot, Alicja
    Powiązania:
    https://bibliotekanauki.pl/articles/425278.pdf
    Data publikacji:
    2013
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    principal component analysis (PCA)
    SARIMA model
    DCC model
    Value-at- -Risk
    portfolio
    Opis:
    The subject of this paper is the forecast of prices and volatility on the Day Ahead Market (DAM). The analysis was made for two portfolios of four contracts from 30.03.2009 to 28.10.2011 for two fixings on DAM. Four out of 24 contracts noted on DAM were chosen by PCA. Prices were forecast by the SARIMA models incorporating autocorrelation and seasonality. Value-at-Risk calculated through the DCC model was used to forecast volatility. These models describe well the prices and volatility on the DAM and may be used for forecasting purposes. Prices on fixing 2 are characterized by higher volatility than prices on fixing 1.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 1(39); 111-120
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Portfolio selection: method of the step by step assigned weights
    Wybór portfela: metoda wag dobieranych krok po kroku
    Autorzy:
    Pavlík, Martin
    Michalski, Grzegorz
    Lukáčik, Martin
    Powiązania:
    https://bibliotekanauki.pl/articles/425102.pdf
    Data publikacji:
    2015
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    modern portfolio theory
    VBA in Excel
    enumeration
    portfolio choice
    VaR
    Value at Risk
    Opis:
    The authors conceived a new simple method for creating the approximation of the border of investment opportunities. The method enumerates all the possibilities of assigning weights to the investment portfolio. It does not enable short sales. The software which the authors coded is written in VBA and also enables active management. The method is simple, accurate but demanding. The authors also created a simple methodology for testing the quality of the approximation of the border of investment opportunities.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2015, 3 (49); 78-97
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-8 z 8

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