Publication details

Měření tržního rizika metodou VaR

Title in English Market risk measurement by using VaR method

VALOVÁ Ivana JUROVÁ Michaela

Year of publication 2008
Type Article in Proceedings
Conference MendelNet 2008 PEF
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords Rizika; řízení rizik; tržní riziko; Value at Risk (VaR).
Description The Basel Committee was established by the central bank Governors of the group of ten countries at the end of 1974. In June 2004 was release the final version of the New Capital Accord, covered credit, market and operational risk. The most widespread tool used to evaluation of market risks by banks and financial institution (for use in capital requirements calculation for capital adequacy purposes) is the indicator the Value at Risk (we asses the maximum probable loss on a portfolio of financial assets and liabilities incurred due to the adverse movements of market rates). The aim of the paper is to underline significance of market risk, make a presentation of the Value at Risk substance in brief and point out difficulties linked with the method.

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