Класифікація методів обчислення та оцінювання мір ризику VaR і CVaR
A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done. For convenience, the considered methods are reduced to common econometric designations and concepts, guidance on the use o...
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| Datum: | 2016 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | Englisch |
| Veröffentlicht: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2016
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| Schlagworte: | |
| Online Zugang: | http://journal.iasa.kpi.ua/article/view/85588 |
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| Назва журналу: | System research and information technologies |
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System research and information technologies| Zusammenfassung: | A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done. For convenience, the considered methods are reduced to common econometric designations and concepts, guidance on the use of the methods is proposed. The correctness of the considered methods is numerically confirmed. |
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