20.500.12556/RUL-108386 Robustne mere tveganja delo diplomskega seminarja Robust risk measures V globaliziranem finančnem svetu so primerne in učinkovite mere tveganja osrednjega pomena za njegovo stabilnost. V zadnjem času se vse več poudarka daje lastnostim, katerim naj bi mere tveganja zadoščale. V mojem delu diplomskega seminarja predstavim eno izmed njih in sicer robustnost. Mera tveganja je robustna, če je neobčutljiva na napačno specifikacijo modela in na majhne spremembe podatkov. Robustnost zagotavlja, da so vse finančne institucije obravnavane enako, glede na tveganje, ki so mu izpostavljene. Zato je smiselna zahteva za mere tveganja, ki so predpisane z baselskimi dogovori. Gre za mednarodne finančne dogovore, ki urejajo regulacijo bank. V delu diplomskega seminarja preučim robustnost pomembnejših mer tveganja in pokažem, da so mere tveganja iz baselskih dogovorov robustne. In globalized financial world, adequate and effective risk measures are central to its stability. More and more emphasis has recently been put on the characteristics which risk measures should fulfill. In my diploma seminar I introduce one of them, robustness. A risk measure is robust if it is insensitive to wrong specification of the model and small changes in data. It ensures that all financial institutions are treated equally, given the risks they bear. Robustness therefore makes sense for risk measures that are prescribed by the Basel agreements. These are international financial agreements governing the regulation of banks. In the Diploma Seminar thesis, I examine the robustness of major risk measures and show that the measures prescribed by Basel agreements are robust. mera tveganja tvegana vrednost baselski dogovori robustnost risk measure value at risk Bassel accords robustness true false false Slovenski jezik Angleški jezik Delo diplomskega seminarja/zaključno seminarsko delo/naloga 2019-06-30 07:45:04 2019-06-30 07:45:05 2024-05-30 11:11:31 0000-00-00 00:00:00 2019 0 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 519.8 96078 18670169 733.pdf 733.pdf 1 DE00EFCDF91AC58CB69C6C05215D9D36 07338aa5d90514bbee5542d622c259f13c1c7eb4be5ac69a9f59a58b30690ec8 a2c2f3dc-a1b6-11eb-a523-00155dcfd717 https://repozitorij.uni-lj.si/Dokument.php?lang=slv&id=119346 Fakulteta za matematiko in fiziko 0 0 0