Odhady Value-at-Risk - nestandardní postupy.
The topic of the presented work is Value-at-Risk (VaR) and its estimation. VaR is a financial risk measure and is defined as a quantile of the distribution of future returns, resp. losses. There exist various methods based on different assumptions how to estimate VaR. The most commonly used methods...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2008
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| Online Access: | http://www.nusl.cz/ntk/nusl-291012 |