Classification of methods for risk measures VaR and CVaR calculation and estimation

Classification of methods for risk measures VaR and CVaR calculation and estimation

A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done. For convenience, the considered methods are reduced to common econometric designations and concepts, guidance on the use o...

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Bibliographic Details
Main Authors: Nataliia G. Zrazhevska, A. G. Zrazhevsky
Format: Article
Language:Ukrainian
Published: Igor Sikorsky Kyiv Polytechnic Institute 2016-09-01
Series:Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï
Subjects:
estimation
Value-at-Risk
Conditional Value-at-Risk
structural-hierarchical scheme
systematization
classification
Online Access:http://journal.iasa.kpi.ua/article/view/85588

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