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Posouzení modelů odhadu tržního rizika s využitím DEA přístupu

Kresta, Aleš; Tichý, Tomáš; Toloo, Mehdi - In: Politická ekonomie : teorie, modelování, aplikace 65 (2017) 2, pp. 161-178

Persistent link: https://www.econbiz.de/10011853736

Market liquidity risk and its incorporation into value at risk

Strnad, Petr - In: Acta Oeconomica Pragensia 2009 (2009) 2, pp. 21-37

Over the past few years, the Value at Risk indicator (VaR) has evolved, without doubt, into the most frequently used … VaR assessment are based only on mid prices and do not take into account the existence of time-varying bid-ask spreads. In … the total risk. This paper focuses on the importance of market liquidity and describes ways to integrate it into the VaR …

Persistent link: https://www.econbiz.de/10005079050

New economy ant The new Age of new economy

Kislingerová, Eva - In: Ekonomika a managment 2008 (2008) 3

The paper points to some new aspects in the evolution of the world's economy, where mainly the use of so far unknown or disregarded financial tools leads to brand new situations on various markets and to qualities generally called deformation of the markets. The paper also defines new,...

Persistent link: https://www.econbiz.de/10009398939

Asymptotic Probability Distribution of Sample Maximum

Kahounová, Jana - In: Acta Oeconomica Pragensia 2008 (2008) 3, pp. 40-46

Extreme value theory is the most scientific approach to an inherently difficult problem - predicting the possibility that an extreme event will occur. Broadly speaking, there are two kinds of models for extreme values. The first group of models are models for a distribution of normalized maximum...

Persistent link: https://www.econbiz.de/10005036425

Examination of Portfolio Currency Risk Estimation by Means of Lévy Models

Tichý, Tomáš - In: Politická ekonomie 2010 (2010) 4, pp. 504-521

Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of...

Persistent link: https://www.econbiz.de/10008564635

Effect of Intraday Information Flow on the Emerging European Stock Markets

Hanousek, Jan; Kočenda, Evžen - In: Politická ekonomie 2010 (2010) 4, pp. 435-457

We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its...

Persistent link: https://www.econbiz.de/10008564638

Bankovní sektor a státní riziko v Evropské unii

Brůha, Jan; Kočenda, Evžen - In: Politická ekonomie : teorie, modelování, aplikace 66 (2018) 3, pp. 366-383

Persistent link: https://www.econbiz.de/10011878086

Dopady vlastnické struktury, firemních charakteristik a krize na efektivitu českých podniků

Hanousek, Jan; Kočenda, Evžen - In: Politická ekonomie : teorie, modelování, aplikace 65 (2017) 1, pp. 3-25

Persistent link: https://www.econbiz.de/10011853499

Dopad intervence ČNB do finančních trhu°

Vejmělek, Jan - In: Politická ekonomie : teorie, modelování, aplikace 62 (2014) 6, pp. 808-823

Persistent link: https://www.econbiz.de/10010473608

A Brief History of the Czech Bond Market

Dvoøáková, Anna - In: Czech Journal of Economics and Finance (Finance a uver) 54 (2004) 3-4, pp. 155-170

The article outlines the historical roots of bonds and bond-market institutions in the Czech Republic. The survey begins in early 20th century, during the Habsburg monarchy, carries through the First Republic of Czechoslovakia and the preceding post-Second World War socialist era, and culminates...

Persistent link: https://www.econbiz.de/10008495833