The diploma thesis Risks of using VaR models for portfolio management is focused on estimation of the portfolio VaR using basic and modified methods. The goal of this thesis is to point out some weakness of the basic methods and to demonstrate the estimation of VaR using improved methods to overcome these problems. The analysis will be perform theoretically and in practice. Only market risk will be the subject of the study. Several simulation and parametric methods will be introduced.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:202134 |
| Date | January 2014 |
| Creators | Antonenko, Zhanna |
| Contributors | Stádník, Bohumil, Vacek, Vladislav |
| Publisher | Vysoká škola ekonomická v Praze |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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