The aim of this paper is to analyze the merits of using the Value At Risk method in estimating the risk associated with investments in metallurgical sector companies. The paper presents how to construct the model, various methods of its estimation and their advantages and disadvantages. In the...

In this paper we introduce a novel approach to risk estimation based on nonlinear factor models - the StressVaR (SVaR). Developed to evaluate the risk of hedge funds, the SVaR appears to be applicable to a wide range of investments. The computation of the StressVaR is a 3 step procedure whose...