The risk analysis on the base of Value at Risk methodology
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007478" target="_blank" >RIV/61989100:27510/03:00007478 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
čeština
Original language name
The risk analysis on the base of Value at Risk methodology
Original language description
Value at Risk methodology is a new approach for measuring and managing financial risks, especially for market risks (equity risk, commodity risk, exchange risk and interest rate risk). This paper describes the analytical approach of computing 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.
Czech name
The risk analysis on the base of Value at Risk methodology
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
—
Result continuities
Project
—
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2003
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
MendelNET 2002/3 Sborník příspěvků z konference studentů doktorského studia
ISBN
80-7302-048-3
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
65-70
Publisher name
PEF MZLU v Brně
Place of publication
Brno
Event location
Brno
Event date
Jan 24, 2003
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
—