Název: Odhady Value-at-Risk - nestandardní postupy.
Překlad názvu: Value-at-Risk estimation - non standard approaches.
Autoři: Picková, Radka ; Šmíd, Martin (oponent) ; Dupačová, Jitka (vedoucí práce)
Typ dokumentu: Diplomové práce
Rok: 2008
Jazyk: eng
Abstrakt: The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk measure and is defined as a quantile of the distribution of future returns, resp. losses. There exist various methods based on different assumptions how to estimate VaR. The most commonly used methods usually assume that the returns, resp. losses, are independently and identically distributed, especially that they are normally distributed. Since this assumption is not satisfied for most daily financial data, many alternative approaches have been suggested to estimate VaR. In the presented work two of them are discussed in detail, the CAViaR method and its asymptotic properties and the method of filtered historical simulation. One part of the work are numerical experiments with real data.

Instituce: Fakulty UK (VŠKP) (web)
Informace o dostupnosti dokumentu: Dostupné v digitálním repozitáři UK.
Původní záznam: http://hdl.handle.net/20.500.11956/14889

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-291012


Záznam je zařazen do těchto sbírek:
Školství > Veřejné vysoké školy > Univerzita Karlova > Fakulty UK (VŠKP)
Vysokoškolské kvalifikační práce > Diplomové práce