Posouzení modelů odhadu tržního rizika s využitím DEA přístupu
Alternative title: | Examination of market risk estimation models via DEA approach modelling |
---|---|
Year of publication: |
2017
|
Authors: | Kresta, Aleš ; Tichý, Tomáš ; Toloo, Mehdi |
Published in: |
Politická ekonomie : teorie, modelování, aplikace. - Praha : Vysoká škola ekonomická v Praze, ISSN 2336-8225, ZDB-ID 2815470-8. - Vol. 65.2017, 2, p. 161-178
|
Subject: | model quality | data envelopment analysis | market risk | Value at Risk | historical simulation | NIG |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | Czech |
Notes: | Zusammenfassung in englischer Sprache |
Other identifiers: | 10.18267/j.polek.1134 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola, (2017)
-
An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom, (2018)
-
An Econometric Analysis of Financial Data in Risk Management
Fantazzini, Dean, (2008)
- More ...
-
Kresta, Aleš, (2012)
-
Kresta, Aleš, (2012)
-
Portfolio optimization efficiency test considering data snooping bias
Kresta, Aleš, (2020)
- More ...