- Tytuł:
-
Ewolucja metod oceny ryzyka rynkowego
Evolution of Estimation Methods of the Market Risk - Autorzy:
- Trzpiot, Grażyna
- Powiązania:
- https://bibliotekanauki.pl/articles/589467.pdf
- Data publikacji:
- 2014
- Wydawca:
- Uniwersytet Ekonomiczny w Katowicach
- Tematy:
-
Pomiar ryzyka
Ryzyko inwestycyjne
Zabezpieczenie przed ryzykiem
Zmienne losowe
Hedge against the risk
Investment risk
Random variable
Risk measures - Opis:
- By experience of the last financial crises new principles of setting reserves in order to secure risky investments were implemented. The security level depends from the type of investment as well as from the accepted measure of the risk. Conventional approach mean-variance isn't appropriate to the present market situation in the description and the inspection of the level of risk, so institutionally appropriately accepted other measures of the risk are proposed. In the article we will present stress VaR and the IRC (Incremental Risk Charge). We will describe the relation additionally between the linear and nonlinear measurement of the risk in connecting with the level of risk and the type the schedule of a random variable describing examined investment.
- Źródło:
-
Studia Ekonomiczne; 2014, 192; 31-43
2083-8611 - Pojawia się w:
- Studia Ekonomiczne
- Dostawca treści:
- Biblioteka Nauki
Artykuł