Publication details

Ŕízení tržního rizika

Title in English Market risk management

VALOVÁ Ivana JUROVÁ Michaela

Year of publication 2008
Type Article in Proceedings
Conference Finance a riziko
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords Risk management; Market risk; Value at Risk (VaR).
Description During nineties of the twentieth century, the Value at Risk indicator has became the most widespread tool used to evaluation of market risks by banks and financial institution in the whole world. By the Value ad Risk we asses the maximum probable loss on a portfolio of financial assets and liabilities incurred due to the adverse movements of market rates. Of the importance the indicator shows evidence of using to capital requirements calculation for capital adequacy purposes. 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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