MARKET RISK ASSESSMENT SYSTEM FOR LONG-TERM HORIZON EAR
Article Sidebar
Main Article Content
Abstract
Risk assessment methods are one of the most significant components of risk management systems used in financial institutions. Risk factors are assessed with using of VaR (Value at Risk) methodology based on stochastic models. These methods are used only for short-term wallets. More significant there are EaR (Earning at Risk) models enabling long-term analysis of traditional wallets. These models consists of simulation models of market data and evolution models of wallet structure and wallet volume. In this paper the first part of EaR methodology – long-term simulation models of risk factors is studied. Using of EaR methodology is presented for real risk management system from one of the commercial banks
Article Details
How to Cite
Karwański, M., Jałowiecki, P., & Orłowski, A. (2008). MARKET RISK ASSESSMENT SYSTEM FOR LONG-TERM HORIZON EAR. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (66), 5–16. https://doi.org/10.22630/EIOGZ.2008.66.44
References
KIM J., MALZ A., MINA J. LongRun Technical Document. RiskMetrics Group. Risk Management: A Practical Guide, RiskMetrics Group, 1999.
CAMPBELL J., LO A., MACKINLAY C. The Econometrics of Financial Markets. Princeton University Press, New Jersey 1997. (Crossref)
ZUMBACH G. The RiskMetrics 2006 Methodology, Risk Metrics Group, 2007. (Crossref)
HAMILTON J.D. Time series analysis. Princeton University Press, Princeton, NJ 1994.
BESSIS J. Risk Management in Banking. John Willey&Sons, Chichester, 1998.
RIEHL H. Zarządzanie ryzykiem. WIB, Warszawa 2001.
LI J. Modelling Dependency Between Different Lines of Business with Copulas. University of Melbourne, 2005.
Statistics
Downloads
Download data is not yet available.
Recommend Articles
Most read articles by the same author(s)
- Waldemar Karwowski, Arkadiusz Orłowski, Development of Internet Banking in Poland - New Information Technologies and Clients Opinions , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 48 (2003)
- Ewa Jałowiecka, Piotr Jałowiecki, Forecast about production and consumption of cigarettes in Poland until 2008 , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 60 (2006)
- Krzysztof Karpio, Arkadiusz Orłowski, Piotr Łukasiewicz, Changes in consumption in european countires - taxonomical analysis , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 60 (2006)
- Piotr Łukasiewicz, Grzegorz Koszela, Arkadiusz Orłowski, The influence of equivalence scales on the povertymeasurement results and distribution of incomes , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 60 (2006)
- Arkadiusz Orłowski, Mariusz Bęben, Methods of deterministic chaos in economic research , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 42 (2000)
- Waldemar Karwowski, Arkadiusz Orłowski, The Development of the Personal Computers and Internet Technologies - a Chance to Rural Areas , Zeszyty Naukowe SGGW - Ekonomika i Organizacja Gospodarki Żywnościowej: No. 50 (2003)