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2016 | 17 | nr 2 | 305--316
Tytuł artykułu

The GlueVaR Risk Measure and Investor's Attitudes to Risk : an Application to the Non-Ferrous Metals Market

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Investing in the economic world, characterized by a high level of uncertainty and volatility, entails a higher level of risk related to investment. One of the most commonly used risk measure is Value-at-Risk. However, despite the ease of calculation and interpretation, this measure suffers from a significant drawback -it is not subadditive. This property is the key issue in terms of portfolio diversification. Another risk measure, which meets this assumption, has been proposed - Conditional Value-at-Risk, defined as a conditional loss beyond Value-at-Risk. However, the choice of a risk measure is an individual decision of an investor and it is directly related to his attitudes to risk. In this paper the new risk measure is proposed - the GlueVaR risk measure, which can be defined as a linear combination of VaR and GlueVaR. It allows for calculating the level of investment loss depending on investment's attitudes to risk. Moreover, GlueVaR meets the subadditivity property, therefore it may be used in portfolio risk assessment. The application of the GlueVaR risk measure is presented for the non-ferrous metals market. (original abstract)
Rocznik
Tom
17
Numer
Strony
305--316
Opis fizyczny
Twórcy
  • University of Economics in Katowice, Poland
Bibliografia
  • ARTZNER, P., DELBAEN, F., EBER, J-M., HEAT, D., (1999). Coherent Measures of Risk, Mathematical Finance, Vol. 9, No. 3, pp. 203-228.
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  • BELLES-SAMPERA, J., GUILLÉN, M., SANTOLINO, M., (2015). What attitudes to risk underlie distortion risk measure choice?, UB Riskcenter Working Paper Series, Working paper 2015/05, Research Group on Risk in Insurance and Finance, University of Barcelona.
  • CHOQUET, G., (1954). Theory of Capatities, Annales de l'Institute Fourier, No. 5, pp. 131-295.
  • DENNENBERG, D., (1994). Non- Additive Measure and Integral, Dordrecht: Kluwer Academic Publischer.
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  • KRĘŻOŁEK, D., (2012). Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions, Dynamic Econometric Models, Vol. 12/2012, pp. 89-104.
  • MCNEIL, A., FREY, R., EMBRECHTS, P., (2005). Quantitative Risk Management: Concepts, Techniques and Tools, New York: Princeton Series in Finance, Princeton University Press.
  • ROCKAFELLAR, R. T., URYASEV, S., (2002). Optimization of Conditional Value-at-Risk, Journal of Risk, No. 2, pp. 21-41.
  • SZEGÖ, G., (2002). Measures of risk, Journal of Banking & Finance, No. 26, pp.1253-1272.
  • WANG, S. S., (1996). Premium Calculations by Transforming the Layer Premium Density, "ASTIN Bull", Vol. 26, No. 1, pp. 71- 92.
  • YAARI, M. E., (1987). The Dual Theory of Choice under Risk, Econometrica, Vol. 55, Issue 1, pp. 95-115.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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