Original title: Analýza a porovnání různých modelů pro Value at Risk na nelineárním portfoliu
Translated title: Analýza a porovnání různých modelů pro Value at Risk na nelineárním portfoliu
Authors: Baran, Jaroslav ; Witzany, Jiří (advisor) ; Hurt, Jan (referee)
Document type: Master’s theses
Year: 2009
Language: eng
Abstract: The thesis describes Value-at-Risk (VaR) and Expected Shortfall (ES) models for measuring market risk. Parametric method, Monte Carlo simulation, and Historical simulation (HS) are presented. The second part of the thesis analyzes Extreme Value Theory (EVT). The fundamental theory behind EVT is built, and peaks-over-threshold (POT) method is introduced. The POT method is then used for modelling the tail of the distribution of losses with Generalized Pareto Distribution (GPD), and is simultaneously illustrated on VaR and ES calculations for PX Index. Practical issues such as multiple day horizon, conditional volatility of returns, and backtesting are also discussed. Subsequently, the application of parametric method, HS and EVT is demonstrated on a sample nonlinear portfolio designed in Mathematica and the results are discussed.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27430

Permalink: http://www.nusl.cz/ntk/nusl-498762


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses