мер риска Value-at-Risk (далее — VaR) и Expected Shortfall (далее — ES), вычисленных с волатильностью, рассчитанной … risk measures Value-at-Risk (hereinafter referred to as VaR) and Expected Shortfall (hereinafter referred to as ES … by V. B. Minasyan. It was established that for nine sectors of the Russian economy, estimates of VaR and ES risk measures …

within the same industry). Naturally, the question arises about the evaluation risk, model risk. This work provides the … in different ways, the analysis of the VaR and ES risk measures has been carried out. The estimates of the VaR and ES … risk measures obtained by using conventional statistical stock volatility assessments (whenever possible) led to lower risk …

constructed model takes into account the most important causes of risk project with R&D, investor who intuitively feel. The … constructed model allows to evaluate the project risk of R&D via VaR risk measure for all possible parameters present in the model … decide on the implementation of risk-based, and to standardize the decision-making process for project with the R&D and …

English Abstract: There are a huge number of measures for risk assessment, determination of performance but at times it … and weaknesses each indicator of performance/risk has.In this article advantages, disadvantages, properties and area of … application of 40 performance and risk measures are considered, the approach to the classification of measures is proposed, the …