Koherentní míry rizika
| Thesis title in Czech: | Koherentní míry rizika |
|---|---|
| Thesis title in English: | Coherent risk measures |
| Key words: | riziko|míra rizika|hodnota v riziku|koherentní míra |
| English key words: | risk|risk measure|value at risk|coherent measure |
| Academic year of topic announcement: | 2024/2025 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | čeština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | doc. RNDr. Matúš Maciak, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 23.09.2024 |
| Date of assignment: | 16.10.2024 |
| Confirmed by Study dept. on: | 03.11.2024 |
| Date and time of defence: | 10.09.2025 00:00 |
| Date of electronic submission: | 07.05.2025 |
| Opponents: | doc. RNDr. Jan Večeř, Ph.D. |
| Guidelines |
| Cieľom práce je matematicky definovať a popísať základné miery rizika s hlavným dôrazom na tzv. koherentné
miery a miery rizika s ďalšími užitočnými vlastosťami (kohgerentnosť, elicitabilita, prípadne robustnosť). Autor/autorka by sa mala oboznámiť s pojmami ako kvantil a expectil a formalizovať ich súvislosť s jednotlivými mierami rizika. Práca by mala obsahovať teoretickú a empirickú časť (napr. konečne-výberové porovnanie pomocou vhodne navrhnutých simulácii). |
| References |
| [1] Artzner, Delbaen, Eber, and Heath (1999). Coherent Measures of Risk, Mathematical Finance, Vol. 9, No. 3 (July 1999), 203–228.
[2] Artzner, Delbaen, Eber, and Heath (1997). Thinking Coherently, RISK 10, 68–71. [3] He, Kou, and Peng (2022). Risk Measures: Robustness, Elicitability, and Backtesting, Annual Review of Statistics and Its Application, 9(1), 141-166. [4] Jones (1994). Expectiles and M-quantiles are quantiles, Statistics & Probability Letters, 20(2), 149-153. [5] Pflug (2002). Coherent Risk Measures and Convex Combinations of the Conditional Value at Risk, Austrian Journal of Statistics, 31(1), 73-75. |