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Bc. et Bc. Kristína Sámelová

Master's thesis

Metody měření tržních rizik

Methods of market risk measurement
Abstract:
This diploma thesis deals with various methods of market risk measurement by financial institutions, particularly comparing the established method Value-at-Risk with available alternatives. The first chapter focuses on the financial risk and its management. The second chapter contains successively the definition, methods of calculating VaR and the explanation of advantages and disadvantages which are …more
Abstract:
Táto diplomová práca sa zaoberá rôznymi metódami merania trhových rizík finančnými inštitúciami, a to najmä komparáciou zaužívanej metódy Value-at-Risk s dostupnými alternatívami. Prvá kapitola sa venuje všeobecne finančnému riziku a jeho riadeniu. V druhej kapitole nájdeme postupne definíciu, metódy výpočtu VaR a vysvetlenie výhod a nedostatkov, ktoré sa s touto rizikovou mierou spájajú. Na to nadväzuje …more
 

Keywords

trhové riziko riziková miera hodnota v riziku VaR očakávaná strata ES spektrálne rizikové miery pokrivené rizikové miery expektily Bazilej Solventnosť market risk risk measure Value-at-Risk Expected Shortfall spectral risk measures distortion risk measures expectiles Basel Solvency
 
Language used: Slovak
Date on which the thesis was submitted / produced: 10. 5. 2018
Identifier: https://is.muni.cz/th/q6mle/

Thesis defence

  • Date of defence: 21. 6. 2018
  • Supervisor: Mgr. Silvie Zlatošová, Ph.D.
  • Reader: Ing. Tomáš Plíhal

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakulta
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Masaryk University

Faculty of Economics and Administration

Master programme / field:
Finance and Accounting / Finance

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