Original title: Míry rizika
Translated title: Risk Measures
Authors: Ďurišová, Slavka ; Zichová, Jitka (referee) ; Hurt, Jan (advisor)
Document type: Master’s theses
Year: 2006
Language: slo
Abstract: The main topic of the thesis is to study different measures of risk. It is mentioned here fundamental approach to calculation these risks. At the begining is defined financial risk and its types. Risk measurements are discussed in the next chapter. As first, it is mentioned duration and its diferent types: Macaulay duration, modified duration, and dollar duration and related deals convexity. Then the thesis deals about measure of return and volatility, method VaR and its fundamental approach to calculation: parametric method, historical simulation, and Monte Carlo. Following methods are CVaR and stress testing. Thesis ends with risks ordering and numerical example.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/4461

Permalink: http://www.nusl.cz/ntk/nusl-267263


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses