Parametric or Non-Parametric Estimation of Value-At-Risk


  •  Grzegorz Mentel    

Abstract

In the financial analyses the fact of predicting future states of the instruments subjected to investments is
extremely important. It allows reducing risk and maximizing potential profits. That is why any ways which
enable to predict the further negative results of taking decisions are very important and the knowledge about the
measures and their efficiency are an additional advantage. Thus, the paper in which value at risk and an
assessment of this measure are discussed seems to be of interest.



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