A1 - Krężołek, Dominik
A1 - Trzpiot, Grażyna
PB - Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
N2 - 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
L1 - http://dbc.wroc.pl/Content/75974/Krezolek_Trzpiot_Risk_management_on_the_metals_market.pdf
L2 - http://dbc.wroc.pl/Content/75974
KW - risk measure
KW - modified GlueVaR
KW - extreme risk
KW - sources of risk
KW - metals market
KW - miara ryzyka
KW - zmodyfikowany GlueVaR
KW - ryzyko ekstremalne
KW - źródła ryzyka
KW - rynek metali
ER -
T1 - Risk management on the metals market
UR - http://dbc.wroc.pl/dlibra/docmetadata?id=75974