VaR a jiné míry rizika
| Thesis title in Czech: | VaR a jiné míry rizika |
|---|---|
| Thesis title in English: | VaR and some other risk measures |
| Academic year of topic announcement: | 2006/2007 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | čeština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Jana Čerbáková, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 18.10.2006 |
| Date of assignment: | 18.10.2006 |
| Date and time of defence: | 11.09.2007 00:00 |
| Date of electronic submission: | 11.09.2007 |
| Date of proceeded defence: | 11.09.2007 |
| Opponents: | doc. RNDr. Ing. Miloš Kopa, Ph.D. |
| Guidelines |
| Student detailně popíše vlastnosti, výhody a nevýhody použití rizikové míry Value-at-Risk (VaR). Ukáže, že VaR je koherentní mírou rizika jen pro speciální rozdělení. Nastíní souvislost VaR s mírou Conditional Value-at-Risk (CVaR), popř. zmíní další alternativy měření rizika.Vyřeší menší úlohu optimalizace portfolia s použitím VaR nebo CVaR. |
| References |
| [1] J. Dupačová, J. Hurt, J. Štěpán: Stochastic Modeling in Economics and Finance. Kluwer Acad. Publ., Dordrecht, 2002.
[2] A. A. Gaivoronski, G. Pflug: Value-at-Risk in Portfolio Optimization: Properties and Computational Approach. Journal of Risk 7 (2), Winter 2004/05, 2005, 1-31. [3] H. Mauser, D. Rosen: Scenario-based risk management tools. Ch. 27 in: Applications of Stochastic Programming, S. W. Wallace, W. T. Ziemba, (eds.) MPS-SIAM Series on Optimization, 2005, pp. 545-574. [4] Pflug, G. Ch.: Some remarks on the Value-at-Risk and the Conditional Value-at-Risk. in: S. Uryasev (ed.), Probabilistic Constrained Optimization, Methodology and Applications, Kluwer Acad. Publ., Dordrecht, 2001, pp. 272-281. |