Ryzyko płynności rynku w modelu Value at Risk na przykładzie polskiego rynku walutowego

• Autorzy: Marek G. Lusztyn

Warianty tytułu

The Market Liquidity Risk in the Value at Risk Model - the Example of Polish Monetary Market

• Języki publikacji: PL

Abstrakty

Rozważania skoncentrowano wokół znaczeniu ryzyka płynności rynku na rynkach finansowych. Dokonano przeglądu podejść do pomiaru ryzyka płynności rynku. Zawarto aplikację modelu zaproponowanego przez Bangia, Diebold, Schuermann i Stronghair dla polskiego rynku walutowego. Analiza ta prowadzi do wniosku, iż ryzyko płynności rynku stanowi znaczną część ryzyka rynkowego.

EN

This paper's considerations focus on the role of market liquidity risk on financial markets. The approaches towards the measuring of market liquidity risk were reviewed. A model developed by Bangia, Diebold, Schuermann and Stronghair with the aim of its application on Polish monetary market was presented and the carried-out analysis evidenced that market liquidity risk constitutes considerable part of market risk. (J.W.)

Słowa kluczowe

PL

Rynek walutowy; Rynki finansowe; Ryzyko; Ryzyko papierów wartościowych; Ryzyko inwestycyjne; Analiza ryzyka

EN

Foreign Exchange (FX); Financial markets; Risk; Securities risk; Investment risk; Risk analysis

• Czasopismo: Studia i Prace Kolegium Zarządzania i Finansów / Szkoła Główna Handlowa
• Rocznik: 2003
• Numer: z. 39
• Strony: 44--58

Twórcy

autor

Marek G. Lusztyn

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