Während die Markpreisrisiken (Zinsen, Aktien und Währungen) mit Hilfe des RiskMetrics-Ansatzes gut beschrieben werden können und dafür relativ überzeugende Derivate zur Absicherung unerwünschter Risiken zur Verfügung stehen, hat diese Entwicklung im Kreditbereich erst begonnen. Bei der...

Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to...

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...

Despite its recent advent, value at risk (VaR) became the most widely usedtechnique for measuring future expected risk for both financial and non-financialinstitutions. VaR, the measure of the worst expected loss over a given horizon at a givenconfidence level, depends crucially on the...

Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures...

Verslo nuosavybės ekonomikos magistro baigiamojo darbo tema yra labai aktuali, kadangi šiandieniame pasaulyje lyderiaujančioms įmonėms nebeužtenka vien naudoti moderniausias technologijas ar turėti geriausią rinkodaros strategiją. Staigūs ir nenuspėjami valiutų kursų svyravimai net...

The scientific problem of the dissertation is search of adequacy of the trading portfolio risk management methods and models to the current economic, technological, and informational circumstances of financial institutions. The main features of science novelty characteristic to this research are...

The first part of the dissertation concerns financial volatility models. Financial volatility has some stylized facts, such as excess kurtosis, volatility clustering and leverage effects. A good volatility model should be able to capture all these stylized facts. Among the volatility models,...

Despite its recent advent, value at risk (VaR) became the most widely used technique for measuring future expected risk for both financial and non-financial institutions. VaR, the measure of the worst expected loss over a given horizon at a given confidence level, depends crucially on the...