Класифікація методів обчислення та оцінювання мір ризику VaR і CVaR

• Date: 2016
• Main Authors: Zrazhevska, Nataliia G., Zrazhevsky, A. G.
• Format: Article
• Language: English
• Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2016
• Subjects: оцінка; Value-at-Risk; Conditional Value-at-Risk; структурно-ієрархічна схема; систематизація; класифікація
• Online Access: http://journal.iasa.kpi.ua/article/view/85588
• Journal Title: System research and information technologies

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...