Wartość zagrożona i warunkowa wartość zagrożona- zastosowanie teorii wartości ekstremalnych
Value at risk, conditional value at risk - an application of extreme value theory

Summary/Abstract: Extreme event risk is present in all areas of risk management. Whether we are concerned with market, credit, operational or insurance risk, one of the challenges to the risk manager is to implement risk management models which allow for rare but dangerous events, and permit the measurement of their consequences. The article presents estimation results of Generalized Pareto Distribution and its application to Value at Risk. We study the daily return distributions for ten stocks of Warsaw Stock Exchange. In this paper we show that estimation of Value at Risk is better for 5% threshold.

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