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The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure is an important element of risk measurement mainly for financial institutions but can also be used by other companies. The Value at Risk is presented together with its alternative Conditional Value at Risk. The main methods of VaR estimation were divided into nonparametric, parametric and semi-parametric...
Zagadnienie zarządzania ryzykiem rynkowym i pomiaru tego ryzyka jest bardzo ważne dla badaczy, menedżerów i regulatorów rynku finansowego. Kryzys z roku 2007 pokazał, że nieodpowiednie zrozumienie narzędzi zarządzania i pomiaru ryzyka może być niebezpieczne nie tylko dla sektora finansowego, ale również dla całej sfery gospodarki realnej. Na ryzyko rynkowe narażone są głównie instytucje finansowe...
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