Míry rizika spojené s likviditou
| Thesis title in Czech: | Míry rizika spojené s likviditou |
|---|---|
| Thesis title in English: | Measures of risk related to liquidity |
| Key words: | míry rizika|likvidita|koherentní míry|riziko likvidity |
| English key words: | risk measures|liquividity|coherent measures|liquidity risk |
| Academic year of topic announcement: | 2024/2025 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | |
| 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: | 18.10.2024 |
| Date of assignment: | 22.10.2024 |
| Confirmed by Study dept. on: | 22.10.2024 |
| Guidelines |
| Student se obeznámi s některými mírami rizika, které se v praxi využívají
pro kvantifikaci rizika spojeného s likviditou. V práci autor popíše základní/důležité vlastnosti (napr. koherentnost mír likvidity) a ilustruje praktické využitý na reálných nebo simulovaných datech. |
| References |
| [1] Będowska-Sójka, B. (2018). The coherence of liquidity measures. The evidence from the emerging market. Finance Research Letters, No.27, 118-123.
[2] Acerbi C. and Scandolo G. (2008). Liquidity risk theory and coherent measures of risk. Quantitative Finance, Vol.8, No.7, 681-692. [3] Ku H.(2006). Liquidity Risk with Coherent Risk Measures. Applied Mathematical Finance, Vol.13, No.2, 131-141. |