The graduation thesis addresses the problems of managing and measuring of financial risks in activities of insurance companies. The first chapter handles the definitions of the financial risk and it classification. The second chapter defines a random variable returns of measure of financial assets. Sets up formulas of the return measure and also focuses on problem of time aggregation. The third chapter theoretically describes methodology of value at risk as the most widely used method for measuring and managing risk by insurance companies and regulatory authority. The fourth chapter contains an empirical study from practice which compares the two basic method of computing value at risk. The fifth chapter is the main part of the graduation thesis and focuses on verifying of the model and his imperfections. It verifies also achievements of initial assumptions. The sixth chapter targets on possibilities of extension value at risk method by liquidity risk incorporation.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:17172 |
| Date | January 2009 |
| Creators | Čech, Tomáš |
| Contributors | Marek, Luboš, Branda, Martin |
| 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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