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    Wyświetlanie 1-11 z 11
    Tytuł:
    Modeling extreme mortality risk
    Modelowanie ekstremalnego ryzyka umieralności
    Autorzy:
    Majewska, Justyna
    Powiązania:
    https://bibliotekanauki.pl/articles/591982.pdf
    Data publikacji:
    2016
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Extreme risk
    Extreme value theory
    Mortality
    Ekstremalne ryzyko
    Teoria wartości ekstremalnych
    Umieralność
    Opis:
    The main aim of the paper is presentation some key aspects in modeling extreme mortality risk. We make a review and discuss measures of extreme mortality risk. Besides, we use approach proposed by J.M. Bravo et al. [2012], that is focused on using EVT to model the statistical behaviour of mortality rates over a given high threshold age. Insurers and reinsurers are interested in assessing the risk exposure to extreme mortality risk.
    Celem niniejszej pracy jest przedstawienie kluczowych aspektów w modelowaniu ekstremalnego ryzyka umieralności. Przedstawiamy dwa podejścia pomiaru ryzyka. Po pierwsze, dyskutujemy miary ryzyka ekstremalnego, które są wykorzystywane w pomiarze ryzyka umieralności. Po drugie, przedstawiamy podejście zaproponowane przez J.M. Bravo i innych [2012], polegające na wykorzystaniu EVT do modelowania umieralności powyżej pewnego wieku. Oceną ekstremalnego ryzyka umieralności są zainteresowani ubezpieczyciele i reasekuratorzy.
    Źródło:
    Studia Ekonomiczne; 2016, 288; 33-46
    2083-8611
    Pojawia się w:
    Studia Ekonomiczne
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Extreme risk spillovers between China and major international stock markets
    Autorzy:
    Qian, Lingling
    Jiang, Yuexiang
    Long, Huaigang
    Powiązania:
    https://bibliotekanauki.pl/articles/23942713.pdf
    Data publikacji:
    2023
    Wydawca:
    Fundacja Naukowa Instytut Współczesnych Finansów
    Tematy:
    vine copula
    high-dimensional dependence structure
    Granger causality in risk
    extreme risk spillover
    Opis:
    We examine the complex dependence structure and risk spillovers between the Chinese stock market and twelve major international markets. To this end, we employ three types of vine copulas and tests for the Granger causality in risk of Hong et al. (2009). The results indicate that the R-vine copula is the optimal model to characterize the high-dimensional dependence structure of the markets after China joined the WTO, which suggests obvious structural differences with varying degrees of mainly positive dependences. Moreover, we identify unilateral extreme risk spillovers from China to the United States, France, and Germany, and either from Japan to China. We also detect bilateral spillovers between China and the United States, Japan, as well as Australia.
    Źródło:
    Modern Finance; 2023, 1, 1; 30-34
    2956-7742
    Pojawia się w:
    Modern Finance
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Extreme price risk on the market of rapeseeds and processed rapeseed products in Poland
    Ekstremalne ryzyko cenowe na rynku rzepaku i produktów przerobu rzepaku w Polsce
    Autorzy:
    Just, M.
    Smiglak-Krajewska, M.
    Powiązania:
    https://bibliotekanauki.pl/articles/863206.pdf
    Data publikacji:
    2015
    Wydawca:
    The Polish Association of Agricultural and Agribusiness Economists
    Tematy:
    extreme risk
    price risk
    market
    rapeseed
    rapeseed meal
    rapeseed oil cake
    rapeseed oil
    rapeseed product
    Polska
    Opis:
    We can observe increasing volatility in rapeseed prices caused by the progressing process of globalisation in the turnover and processing of this raw material. It increases the exposure of rapeseed-producing entities and rapeseed-processing enterprises to price risk. The aim of this study is to assess the extreme price risk on the market of rapeseeds and processed rapeseed products in Poland. The study was based on average weekly rapeseed purchase prices and sales prices of refined rapeseed oil, rapeseed meal and rapeseed oilcake from 3 January 2005 and 19 April 2015. Extreme risk was measured with two measures: value at risk and expected shortfall. Extreme value theory was also applied. The research findings point to differences in the level of risk on the market of rapeseeds and processed rapeseed products.
    Obserwowany wzrost zmienności cen rzepaku wywołany m.in. postępującym procesem globalizacji obrotu i przerobu tego surowca, zwiększa ekspozycję podmiotów produkujących rzepak oraz przedsiębiorstw zajmujących się przetwarzaniem tego surowca na ryzyko cenowe. Celem pracy była ocena ekstremalnego ryzyka cenowego na rynku rzepaku i produktów jego przerobu w Polsce. Wykorzystano w tym celu średnie tygodniowe ceny skupu nasion rzepaku oraz ceny sprzedaży oleju rzepakowego rafinowanego, śruty rzepakowej oraz makuchu rzepakowego od 3 stycznia 2005 do 19 kwietnia 2015 roku. Ekstremalne ryzyko zmierzono za pomocą dwóch miar – wartości zagrożonej i oczekiwanego niedoboru, wykorzystując teorię wartości ekstremalnych. Wyniki badań wskazały na występowanie różnic w poziomie ryzyka na rynku rzepaku i produktów jego przerobu.
    Źródło:
    Roczniki Naukowe Stowarzyszenia Ekonomistów Rolnictwa i Agrobiznesu; 2015, 17, 5
    1508-3535
    2450-7296
    Pojawia się w:
    Roczniki Naukowe Stowarzyszenia Ekonomistów Rolnictwa i Agrobiznesu
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Risk management on the metals market
    Zarządzanie ryzykiem na rynku metali
    Autorzy:
    Krężołek, Dominik
    Trzpiot, Grażyna
    Powiązania:
    https://bibliotekanauki.pl/articles/424896.pdf
    Data publikacji:
    2020
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    risk measure
    modified GlueVaR
    extreme risk
    sources of risk
    metals market
    miara ryzyka
    zmodyfikowany GlueVaR
    ryzyko ekstremalne
    źródła ryzyka
    rynek metali
    Opis:
    The purpose of this paper is to attempt to classify risk which can be observed when one deals with data from the metals market. Usually the general definition of risk includes two dimensions. The first one is the probability of occurrence and the second one are the associated consequences of a set of hazardous scenarios. In this research the authors try to add a new dimension: the source of risk, which can be defined in terms of the level of turnover (volatility of volume) and price (volatility of returns). One can categorize risks in terms of multidimensional ranking based on a comparative evaluation of the consequences, probability, and source of a given risk. Another dimension is the chosen risk measures, in the meaning of the risk model. In risk analysis, some selected quantile risk measures were proposed: VaR, Expected Shortfall, Median Shortfall and GlueVaR. The empirical part presents a multidimensional risk analysis of the metal market.
    Celem opracowania jest próba klasyfikacji ryzyka, które można zaobserwować, gdy mamy do czynienia z danymi z rynku metali. Ogólna definicja ryzyka obejmuje dwa wymiary: prawdopodobieństwo wystąpienia zdarzenia ryzykownego i związane z nim konsekwencje zestawu niebezpiecznych scenariuszy. W niniejszym badaniu staramy się dodać nowy wymiar: źródło ryzyka, które można zdefiniować w kategoriach poziomu obrotu (zmienność wolumenu) oraz ceny (zmienność stóp zwrotu). Ryzyko możemy kategoryzować według wielowymiarowego rankingu, na podstawie porównawczej oceny konsekwencji, prawdopodobieństwa i źródła danego ryzyka. Inny wymiar to wybrane miary ryzyka w rozumieniu modelu ryzyka. W analizie ryzyka wykorzystano wybrane miary kwantylowe: VaR, Expected Shortfall, Median Shortfall oraz GlueVaR. W części empirycznej przedstawiamy analizę ryzyka w ujęciu wielowymiarowym przeprowadzoną na rynku metali.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2020, 24, 2; 86-97
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions
    Autorzy:
    Szubzda, Filip
    Chlebus, Marcin
    Powiązania:
    https://bibliotekanauki.pl/articles/1356736.pdf
    Data publikacji:
    2020-03-20
    Wydawca:
    Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
    Tematy:
    Value-at-Risk
    extreme value theory
    forecasting
    market risk
    Opis:
    The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in European countries, divided into two groups: emerging countries (Bulgaria, Czech Republic, Lithuania, Latvia, Poland, Slovakia and Hungary) and developed countries (England, France and Germany). Three states of economic situation were analysed: the pre-crisis (2007), the crisis (2008) and the post-crisis (2009) period as out-of-sample. The main conclusion obtained is the too slow process of adapting static EVT-based forecasts to market movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often exceeded.
    Źródło:
    Central European Economic Journal; 2019, 6, 53; 70 - 85
    2543-6821
    Pojawia się w:
    Central European Economic Journal
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Risk taking propensity among people involved in various forms of winter recreation on the example of skiing
    Autorzy:
    Pawelec, Iwona
    Powiązania:
    https://bibliotekanauki.pl/articles/1054704.pdf
    Data publikacji:
    2013
    Wydawca:
    Uniwersytet Szczeciński. Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
    Tematy:
    extreme sports
    risk
    safety
    skiing
    winter recreation
    Opis:
    Nowadays, recreational activity is not only the general tendency to improve physical function, but is also associated with increased physical effort and risk. For example, there has been the development of more sophisticated and dangerous forms of skiing. Today, skiing can be divided into downhill skiing, practiced in ski resorts, and freeskiing. The freeskiing forms include ski-touring and freeride, considered as extreme. The extreme forms are characterized by high risk as the main motive for their practice. The most important predisposition to engage in those activities is the courage expressed in risk taking propensity. Risk taking propensity is a personality trait that affects human decisions in risky situations. Depending on its severity, more or less risky behavior can be observed. The aim of the study was to determine the level of propensity to risk behaviors of people involved in forms of activity associated with a higher risk in comparison with other participants, on the example of recreational skiing. The questionnaire constructed by Ryszard Studenski was used to measure the risk taking propensity and frequency of risky behavior. The research was carried out on 40 persons classified on the basis of the declaration of preferred form of skiing. People practicing extreme forms of winter activity (skitouring, ski-mountaineering) showed lower level of risk taking propensity than a group of downhill skiers. It was found that the preference of risky sports is not definitely related to the higher propensity to risk-taking behavior.
    Źródło:
    Central European Journal of Sport Sciences and Medicine; 2013, 2, 2; 39-47
    2300-9705
    2353-2807
    Pojawia się w:
    Central European Journal of Sport Sciences and Medicine
    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:
    Detecting Risk Transfer in Financial Markets using Different Risk Measures
    Autorzy:
    Fałdziński, Marcin
    Osińska, Magdalena
    Zdanowicz, Tomasz
    Powiązania:
    https://bibliotekanauki.pl/articles/483251.pdf
    Data publikacji:
    2012
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    extreme value theory
    risk measures
    Granger causality in risk
    Chinese financial processes
    Opis:
    High movements of asset prices constitute intrinsic elements of financial crises. There is a common agreement that extreme events are responsible for that. Making inference about the risk spillover and its effect on markets one should use such methods and tools that can fit properly for catastrophic events. In the paper Extreme Value Theory (EVT) invented particularly for modelling extreme events was used. The purpose of the paper is to model risky assets using EVT and to analyse the transfer of risk across the financial markets all over the world using the Granger causality in risk test. The concept of testing in causality in risk was extended to Spectral Risk Measure i.e., respective hypotheses were constructed and checked by simulation. The attention is concentrated on the Chinese financial processes and their relations with those in the rest of the globe. The original idea of the Granger causality in risk assumes usage of Value at Risk as a risk measure. We extended the scope of application of the test to Expected Shortfall and Spectral Risk Measure. The empirical results exhibit very interesting dependencies.
    Źródło:
    Central European Journal of Economic Modelling and Econometrics; 2012, 4, 1; 45-64
    2080-0886
    2080-119X
    Pojawia się w:
    Central European Journal of Economic Modelling and Econometrics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Risk analysis method by the extreme data of dependent exogenous variables
    Autorzy:
    Tereshchenko, Ihor
    Tereshchenko, Anton
    Bilous, Nataliya
    Shtangey, Svetlana
    Warsza, Zygmunt L.
    Powiązania:
    https://bibliotekanauki.pl/articles/2141854.pdf
    Data publikacji:
    2021
    Wydawca:
    Sieć Badawcza Łukasiewicz - Przemysłowy Instytut Automatyki i Pomiarów
    Tematy:
    exogenous variable
    risk-oriented process approach
    extreme value theory
    tailed distribution
    Opis:
    Many practical tasks of data multivariate statistical analysis from the standpoint of a risk-oriented process approach (in accordance with ISO 9001: 2015, 31000: 2018) requires the definition of the risk values for the dependent exogenous variables of some processes. This paper proposes the method, which consist of original stages sequence for calculating value-at-risk (VaR) or conditional-value-at-risk (CVaR) of dependent exogenous variables, presented of the extreme data frame of critical manufacture process parameters or other parameters, for example, extreme data of environmental monitoring and etc. Risk analysis method by the extreme data of dependent exogenous variables, presented of the data matrix, uses the result of solving the formalized problem of defines the tails parameters of the joint distributions of exogenous variables as components of a bivariate random variable. It can be argued that the tails parameters of the joint distributions of dependent exogenous variables make the validated corrections of the VaR and CVaR estimates for such variables. This method expands the practical application of extreme value theory for the value at risk analysis of any dependent variables as process parameters.
    Źródło:
    Journal of Automation Mobile Robotics and Intelligent Systems; 2021, 15, 3; 44-53
    1897-8649
    2080-2145
    Pojawia się w:
    Journal of Automation Mobile Robotics and Intelligent Systems
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    The Polish contribution to financial econometrics. A review of methods and applications
    Polski wkład w ekonometrię finansową. Przegląd metod i zastosowań
    Autorzy:
    Osińska, Magdalena
    Powiązania:
    https://bibliotekanauki.pl/articles/425108.pdf
    Data publikacji:
    2016
    Wydawca:
    Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Tematy:
    financial econometrics
    volatility models
    risk measures
    extreme value theory
    microstructure
    behavioral information
    Opis:
    Since 1982 the term “financial econometrics” has been present in the enormous literature that covers both methodologies and empirical analyses of the processes observed on the financial markets. The purpose of the presented paper is to indicate the milestones in financial econometrics and their usefulness and to show the contribution of the research from Poland into its development. ‘Pure’ financial econometrics methods are of special interest. The paper is directed at reviewing the recent methodologies and their applications. We focused on the contribution of Polish researchers into financial econometrics over the years, considering both the methodology and the applications. Some of the indicated publications are cited quite often, including international quotations, others are not very popular due to the language of the publication or the local reach of the journal, although many of them can be considered in line with the achievements that are presented in international empirical publications.
    Źródło:
    Econometrics. Ekonometria. Advances in Applied Data Analytics; 2016, 4 (54); 9-35
    1507-3866
    Pojawia się w:
    Econometrics. Ekonometria. Advances in Applied Data Analytics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Odra River in Lower Silesia: probabilistic analysis of flood risk dynamics as part of sustainable development of water management
    Autorzy:
    Kuźmiński, Łukasz
    Halama, Arkadiusz
    Powiązania:
    https://bibliotekanauki.pl/articles/108315.pdf
    Data publikacji:
    2018
    Wydawca:
    Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
    Tematy:
    flood risk
    flow
    sustainable development
    water management
    extreme value
    distributions
    Gumbel distribution
    Opis:
    One of most common natural catastrophes in Poland are undoubtedly floods. Climatic change contributes to more and more often and violent occurrences of the maximum flow in rivers, which increases flood damage. Inadequate land management and the unjustified belief in the effectiveness of technical flood control measures can also contribute to flood damage. The development of water management (including flood protection) should be carried out in a sustainable way by integrating social, environmental, and economic objectives. In flood protection, those measures that are least invasive to the natural environment should be used first; in particular, non-technical flood protection methods (e.g., flood risk assessment and management, and the proper definition and management of flood plains). One of the bases for the sustainable development of water management is the preparation of models that can help us calculate the likelihood of maximum flow and to identify areas that are at risk of flooding. On this basis, the proper spatial policy and prevention of flood effects will be possible. This article presents the probabilistic analysis carried out on the flood risk dynamics for a selected area of the Odra River basin. The authors based their risk dynamic assessment on the results from the distributions of the maximum values for a selected hydrological characteristic – the flow rate. Based on the daily flow data from the years of 1994–2013 collected at a hydrological station on the Odra River in Malczyce, the 30-day flow maxima were set individually for four 5-year periods. Then, a probabilistic model of the maximum flow was developed based on these peaks for each 5-year period. The resulting models were used to estimate flood risks and for analyzing the dynamics for the studied area.
    Źródło:
    Managerial Economics; 2018, 19, 2; 205-225
    1898-1143
    Pojawia się w:
    Managerial Economics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-11 z 11

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