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The article concerns the issue of modelling of operational risk in a bank. The area of analysis is related to two separate analytical areas composed of certain combinations of the Basel Matrix risk categories. The focus of interest is in the modelling of loss severity distributions in LDA models and in consideration of the power and character of dependences among the studied analytical areas. To model...
The main goal of this paper is to examine relationships between GDP and inter-national trade (exports and imports). Foreign trade channels which can affect national in-come have been listed and the impact of trade on GDP was described. Differences between a closed and an open economy are shown. The autoregression vector (VAR) model was used as well as Granger causality test. Quarterly dataset for...
Several banks use internal Value at Risk models to measure market risk and to calculate regulatory capital necessary to cover that risk. Backtesting is a statistical tool that allows differentiating precise and imprecise risk models. The objective of this paper is to backtest selected Value at Risk models in a period preceding and during the financial crisis, based on the example of Polish currency,...
The authors conceived a new simple method for creating the approximation of the border of investment opportunities. The method enumerates all the possibilities of assigning weights to the investment portfolio. It does not enable short sales. The software which the authors coded is written in VBA and also enables active management. The method is simple, accurate but demanding. The authors also created...
In the article the author introduce the additional axiom of measure of risk and checks, mathematically proving, which well-known functions of risk fulfill this additional axiom. This will be conducted for functions such as: Value at Risk, Expected Shortfall, Median, Absolute Median Deviation, Maximum, Maximum Loss, Half Range, and Arithme- tic Average. In other words, the purpose of the paper is studying...
The decision making process is directly associated with risk, no matter what area of interest it is. In the case of financial investments we can define a special type of risk called investment risk. Taking into account the financial time series of assets’ characteristics (prices, returns), small deviations of future values comparing to their expected level are not a major threat to the investor’s...
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