Original title: Alternativní míry risika a jejich užití
Translated title: Alternative risk measures and their applications
Authors: Drobuliak, Matúš ; Hurt, Jan (advisor) ; Večeř, Jan (referee)
Document type: Bachelor's theses
Year: 2017
Language: slo
Abstract: [eng] [cze]
Title: Alternative risk measures and their applications Author: Matúš Drobuliak Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc., Department of Probability and Mathe- matical Statistics Abstract: The objective of this thesis is to discuss alternative measures of risk. We focused on the expectile value at risk, which we compared with conventional risk measures - namely value at risk and conditional value at risk. We also discussed its properties from the financial point of view. A numerical illustration is included in the thesis. Keywords: Value at risk, Conditional value at risk, Quantile, Expectile, Expectile value at risk iii Název práce: Alternatívne miery rizika a ich vyuæitie Autor: Matúπ Drobuliak Katedra: Katedra pravdÏpodobnosti a matematické statistiky Vedoucí bakalá¯ské práce: Doc. RNDr. Jan Hurt, CSc., Katedra pravdÏpodobnosti a matematické statistiky Abstrakt: ÚËelom tejto práce je pojednaª o alternatívnych mierach rizika. My sme sa zamerali na expektilovú hodnotu v riziku, ktorú sme porovnávali so zau- æívan˝mi rizikov˝mi mierami, a to hodnotou v riziku a podmienenou hodnotou v riziku. Podiskutovali sme o jej vlastnostiach a jej finanËnom v˝zname. SúËasªou práce je aj numerická ilustrácia. KlíËová slova: Hodnota v riziku, Podmienená hodnota v riziku, Kvantily, Expek- tily, Expektilová hodnota v riziku iii
Keywords: Conditional value at risk; Expectile; Expectile value at risk; Quantile; Value at risk; Expektilová hodnota v riziku; Expektily; Hodnota v riziku; Kvantily; Podmienená hodnota v riziku

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/90854

Permalink: http://www.nusl.cz/ntk/nusl-365451


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Bachelor's theses