Wykorzystanie metody VAR w procesie pomiaru ryzyka
The VAR approach in the risk measurement

Summary/Abstract: The work concerns the method of Value at Risk. It discusses the measurement practice and basic solutions. It indicates that there is a possibility of VaR estimating with Monte Carlo approach. We can achieve that through multi-dimensional distribution of risk factors. These solutions were considered on the basis of the empirical material gathered for the evolution and performance of the exchange rates in the 2007-2011 period. This empirical study illustrates the results of selected methods for the VaR calculation.

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