This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …

The article describes the use of a Value at Risk measure to analyze the effectiveness of a bank. Among various existing … interest margins by using the Value at Risk measure. The newly established measures were then subjected to empirical tests … of risk-adjusted bank interest margins were calculated, which provided a way to set the minimum levels that can be …

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

useful tool that can be applied for the needs of corporate risk management in the area of the assessment of a firm …’s bankruptcy risk. Using two variants of the division of the research sample into the training and testing sets, it turned out that … variables is necessary for possibly building the most efficient tool for the early warning signs of bankruptcy risk. …