Title:

Modelling extreme market risk of Polish banks' debt instruments' portfolios

Group publication title:

Ekonometria = Econometrics

Title in english:

Modelowanie wartości ekstremalnych ryzyka rynkowego portfeli papierów dłużnych znajdujących się w posiadaniu polskich banków

Creator:

Łupiński, Marcin

Subject and Keywords:

market risk ; Value at Risk ; Expected Tail Loss ; Extreme Value Theory ; ryzyko rynkowe

Description:

Ekonometria = Econometrics, 2013, Nr 3 (41), s. 113-130

Abstrakt:

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.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2013

Resource Type:

artykuł

Format:

application/pdf

Language:

eng

Relation:

Ekonometria = Econometrics, 2013, Nr 3 (41)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu