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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Value at Risk in R
 ŽIŠKA, František
This thesis explores multiple methods of calculating currency risk with the use of value at risk, as well as implementing these methods in code language R. The first part of this thesis is theoretical and explains and proves three methods of assessing parametric and non­parametric models of value at risk and shows how precise they are and what disadvantagesthese models pose. The second part of this thesis focuses on implementing these value at risk calculation methods into code language R, resulting in code, which is able to calculate currency risk with these different value at risk methods using user input of needed values.
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