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Robustne mere tveganja : delo diplomskega seminarja
Kodrič, Žiga (Author), Škulj, Damjan (Mentor) More about this mentor... This link opens in a new window

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Abstract
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.

Language:Slovenian
Keywords:mera tveganja, tvegana vrednost, baselski dogovori, robustnost
Work type:Bachelor thesis/paper (mb11)
Organization:FMF - Faculty of Mathematics and Physics
Year:2019
UDC:519.8
COBISS.SI-ID:18670169 Link is opened in a new window
Views:122
Downloads:64
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Secondary language

Language:English
Title:Robust risk measures
Abstract:
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.

Keywords:risk measure, value at risk, Bassel accords, robustness

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