In this master‘s work analyzed one of the modern risk measurements – Value-at-Risk (VaR). The paper examined three main …Magistro darbe nagrinėjamas šiuo metu vienas moderniausių rizikos matų – rizikos vertė (angl.Value-at-risk …) Analizuojami trys pagrindiniai VaR rodiklio skaičiavimo metodai: variacijos/kovariacijos, istorinio modeliavimo ir Monte Karlo …

Value-at-risk (VaR) model as a tool to estimate market risk is considered in the thesis. It is a statistical model … with a certain probability. A new definition of the aggregated VaR is given and the empirical study about different … currencies position VaR estimates’ dependence on data aggregation functions (pointwise, maximum value, minimum value and average …