Porovnání vybraných modelů ohrožené hodnoty
In this diploma thesis we compare the most prominent nonparametric, parametric and semi-parametric Value-at-Risk (VaR) models for two portfolios - one long and the other short in the PX index. In the nonparametric class we investigate the historical simulation and the weighted historical simulation...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2008
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| Online Access: | http://www.nusl.cz/ntk/nusl-454598 |