Stuchlíková, Zuzana - In: Acta Oeconomica Pragensia 2005 (2005) 1, pp. 82-93
The article aims to survey recent advancements in risk management field. First a popular quantile-based risk measure … Value-at-Risk (VaR), nowadays widely used to asses exposure to market and credit risk, is presented. Four different … approaches are introduced, implemented and backtested on PSE index PX-50 time series. A class of so called coherent risk measures …
