Value-at-risk (VaR) model as a tool to estimate market risk is considered in the thesis. It is a statistical model defined as the maximum future loss due to likely changes in the value of financial assets portfolio during a certain period with a certain probability. A new definition of the...

Disertacijoje nagrinėjamas vertės pokyčio rizikos modelis. Tai toks statistinis modelis, kurį taikant su tam tikra tikimybe įvertinamas didžiausias galimas nustatyto laikotarpio nuostolis, kredito įstaigos patiriamas dėl neigiamų taikomos finansinės priemonės vertės pokyčių....

We discuss joint temporal and contemporaneous aggregation of N copies of stationary random-coefficient AR(1) processes with common i.i.d. standardized innovations, when N and time scale n increase at different rate. Assuming that the random coefficient a has a density, regularly varying at a=1...

We discuss joint temporal and contemporaneous aggregation of N independent copies of AR(1) process with random-coefficient a∈[0,1) when N and time scale n increase at different rate. Assuming that a has a density, regularly varying at a=1 with exponent −1β1, different joint limits of...