Impacts of new regulatory requirements for market risk

Autor:	Vojkůvka, Adam
Přispěvatelé:	Witzany, Jiří, Brodani, Jana
Jazyk:	čeština
Rok vydání:	2017
Předmět:	regulatory requirements market risk tržní riziko Value at Risk internal approach interní přístup regulatorní požadavky Expected Shortfall
Popis:	The aim of this master thesis is analyze the impact of new regulatory requirements for market risk in terms of internal approach of the selected portfolio. The first part deals with the definition and calculation methods of risk measures Value at Risk and Expected Shortfall. Furthermore, this part is dedicated to model backtesting and determination of the stress period. The second part describes the development of Basel I-III regulatory requirements for market risk with a focus on internal approaches. The third part focuses on the calculation and subsequent analysis of current and new regulatory reguirements for market risk using the historical simulation method, variance and covariance method and Monte Carlo simulation.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od______2186::94e1abc501430d97af4ff9b1fddc63c0 http://www.nusl.cz/ntk/nusl-360519 Zobrazit plný text záznamu