Wykorzystanie metody VAR w procesie pomiaru ryzyka
The VAR approach in the risk measurement
Author(s): Bogdan LudwiczakSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: Monte Carlo; currency risk; Value at Risk
Summary/Abstract: The work concerns the method of Value at Risk. It discusses the measurement practice and basic solutions. It indicates that there is a possibility of VaR estimating with Monte Carlo approach. We can achieve that through multi-dimensional distribution of risk factors. These solutions were considered on the basis of the empirical material gathered for the evolution and performance of the exchange rates in the 2007-2011 period. This empirical study illustrates the results of selected methods for the VaR calculation.
Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
- Issue Year: 2012
- Issue No: 271 vol 1
- Page Range: 468-479
- Page Count: 12
- Language: Polish