The diploma thesis "Value at Risk: Historical simulation, variance covariance method and Monte Carlo" aims to value the risk which real bond portfolio bears. The thesis is decomposed into two major chapters: Theoretical and Practical chapters. The first one speaks about VaR and conditional VaR theory including their advantages and disadvantages. Moreover, there are described three basic methods to calculate VaR and CVaR with adjustments to each method in order to increase the reliability of results. The last chapter brings results of VaR and CVaR computation. Many graphs, tables and images are added to the result section in order to make the outputs more visible and well-arranged.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:124888 |
| Date | January 2012 |
| Creators | Felcman, Adam |
| Contributors | Málek, Jiří, Stádník, Bohumil |
| 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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