The analytical approach of computing VaR of market risk

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007475" target="_blank" >RIV/61989100:27510/03:00007475 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

čeština

Original language name

Analytický způsob stanovení hodnoty Value at Risk tržních rizik

Original language description

Value at Risk is a new model for measuring and managing financial risks, more especially for market risks (equity risk, commodity risk, exchange risk and interest rate risk). Using Value at Risk models in Risk-management increase in the last time and many financial institution as bank, insurance company, investment funds, pension fund and other using this model for quantification, managing and elimination their market risks. In these paper is described the analytical approach to compute the Value at Risk, respectively the Delta method for linear financial instruments and the Delta- gamma method for non-linear financial instruments. Attention is focused on marginal, incremental and relative VaR too. In the end of this paper is one illustrative example,which is applied at equity risk of investment to four equities.

Czech name

Analytický způsob stanovení hodnoty Value at Risk tržních rizik

Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Nové trendy rozvoje průmyslu

ISBN

80-214-2354-4

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

1-8

Publisher name

PF VUT v Brně

Place of publication

Brno

Event location

Brno

Event date

Dec 4, 2002

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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