Trends in education, 2011 (vol. 4), issue 1

TVV 2011, 4(1):242-245

MEASURING MARKET RISK USING STATISTICAL METHODS

URBANÍKOVÁ Marta
ÚIAM MTF STU, Hajdóczyho 1, 91724 Trnava,

The aim of this article is to charakterize kanking risks and methods of their measuring in accordance with international standards of Basel II. Compares the methods for calculating the market risk of the banking portfolio, such as variance - covariance method, a method of historical earnings, Monte Carlo simulation methods, Delta - Gamma (Theta) method, Method Expected shortfall and others.

Keywords: risk management, market risk, Basel II, Value at Risk, portfolio.

Published: July 1, 2011  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
URBANÍKOVÁ, M. (2011). MEASURING MARKET RISK USING STATISTICAL METHODS. Trends in education, 4(1), 242-245
Share...
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. BESSIS, J. Risk Management in Banking. John Wiley & Sons, 2002. ISBN 0471893366.
    2. BLAHA, Z. Řízení rizika a finanční inženýrství. Praha : Management Press, 2004. ISBN 80-7261-113-5.
    3. CIPRA, T.: Kapitálová přiměřenost ve financích a solventnost v pojišťovnictví. Praha : Ekopress, 2002. ISBN 80-86119-54-8.
    4. JÍLEK, J. Finanční rizika. Praha : Grada, 2000. ISBN 80-7169-201-8.

    This is an open access article distributed under the terms of the Creative Commons Attribution-ShareAlike 4.0 International License (CC BY-SA 4.0), which permits use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content