Object

Title: Review of Value at Risk estimation methods

Title in english:

Research Papers of Wrocław University of Economics

Creator:

Stefaniak, Radosław

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics, 2018, Nr 519, s. 173-183

Abstrakt:

On a daily basis, managers in risk management teams use a number of methods to manage various types of risk. One of the most popular methods of measuring market risk is Value at Risk. Estimation of Value at Risk gives a possibility to determine a loss, which can occur or can be exceeded with a given probability and tolerance level. Moreover, this measure of risk shows in just one number entire risk of the portfolio. In addition, various methods and probability distributions can be used to estimate Value at Risk. A goal of this paper is the evaluation of Value at Risk estimation methods on the basis of backtesting results. In the empirical part, the data for 4 investment portfolios was used. The portfolios were diversified in terms of geographic location of firms that were taken into consideration

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2018

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/pn.2018.519.14 ; oai:dbc.wroc.pl:46258

Language:

eng

Relation:

Wrocław Conference in Finance: Contemporary Trends and Challenges ; Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2018; Nr 519

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Object collections:

Last modified:

Jun 11, 2022

In our library since:

Sep 20, 2018

Number of object content hits:

535

Number of object content views in PDF format

509

All available object's versions:

https://dbc.wroc.pl/publication/71810

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Review of Value at Risk estimation methods Jun 11, 2022

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