Original title: Odhad rizika v měsíčním horizontu na základě dvouleté časové řady
Translated title: Estimations of risk with respect to monthly horizon based on the two-year time series
Authors: Myšičková, Ivana ; Houfková, Lucia (advisor) ; Pešta, Michal (referee)
Document type: Rigorous theses
Year: 2015
Language: cze
Abstract: [cze] [eng]

Keywords: Expected Shortfall; GARCH process; Geometric Brownian Motion; Historical Simulation; Square-Root-of-Time rule; Value at Risk; GARCH proces; geometrický Brownův pohyb; historická simulace; hodnota v riziku; očekávaná ztráta; škálovací pravidlo

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/104448

Permalink: http://www.nusl.cz/ntk/nusl-392459


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Rigorous theses
 Record created 2019-02-13, last modified 2022-03-04


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