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Alternative risk measures and their applications
 Drobuliak, Matúš ; Hurt, Jan (advisor) ; Večeř, Jan (referee)
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
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