- 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