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The development of financial markets, and associated increase in risk are followed by the development of risk measurement theory. There are a lot of different measures of risk. We can divide them into three groups: measures of volatility, measures of sensitivity and measures of downside risk. Downside risk measures such as: Value-at-Risk (VaR), and Conditional Value at Risk (CVaR) are more and more popular in the analysis of the markets, because the faster and more considerable the changes in prices are the greater is the advantage of these measures. In this article several methods of VaR estimation are compared, including variance-covariance, historical simulations and Monte Carlo simulations, autoregressive models and multivariate model of Principal Components Analysis PCA in order to choose the best one to be used on the Day Ahead Market (DAM) at the Polish Power Exchange. (fragment of text)
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- Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach
Bibliografia
- Akaike H.: Fitting autoregressive models for prediction. "Annals of the Institute of Statistical Mathematics" 1969, No 21
- Blanco C., Soronow D., Stefiszyn P,: Multi - factor models for forward curve analysis: an introduction to Principal Component Analysis. "Commodities-Now" 2002, June
- Blanco C., Soronow D., Stefiszyn P.: Multi - factor models of the forward price curve. "Commodities-Now" 2002, September
- Engle R.F., Manganelli S.: CAViAR: Conditional autoregressive value at risk by regression quantiles. Econometric Society Word Congress 2000, Contributed Papers 0814, Econometric Society 2000
- Ganczarek A.: Klasyfikacja polskiego rynku energii. W: Inżynieria ekonomiczna w badaniach społeczno-gospodarczych. Red. M J. Król. Politechnika Rzeszowska, Rzeszów 2003
- Ganczarek A.: Modele autoregresyjne na Rynku Dnia Następnego Towarowej Giełdy Energii S.A. Referat wygłoszony na XLII Konferencji Statystyków, Ekonometryków i Matematyków Polski Południowej, 15-17 marca 2006 w Lądku Zdroju
- Kołmogorow A.N.: Sulla determinazione empiria di una legge di clistributione. "Gionale del Instituto Italiano degli Attuari" 1933, T. 4
- Kupiec P.: Techniques for verifying the accuracy of risk management models. "Journal of Derivatives" 1995, No 2
- Metody ekonometryczne i statystyczne w analizie rynku kapitałowego. Red. K. Jajuga. AE, Wrocław 2000
- Trzpiot G., Ganczarek A.: Value at Risk Using the Principal Components Analysis on the Polish Power Exchange. From Data and Information Analysis to Knowledge Engineering, Springer - Verlag Berlin - Heidelberg 2006
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Bibliografia
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