Classification of methods for risk measures VaR and CVaR calculation and estimation

Authors

DOI:

https://doi.org/10.20535/SRIT.2308-8893.2016.3.11

Keywords:

estimation, Value-at-Risk, Conditional Value-at-Risk, structural-hierarchical scheme, systematization, classification

Abstract

A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done. For convenience, the considered methods are reduced to common econometric designations and concepts, guidance on the use of the methods is proposed. The correctness of the considered methods is numerically confirmed.

Author Biographies

Nataliia G. Zrazhevska, Educational-Scientific Complex "Institute for Applied System Analysis" NTUU "KPI", Kyiv, Ukraine

Nataliia Zrazhevska,

postgraduate at Educational-Scientific Complex "Institute for Applied System Analysis" NTUU "KPI", Kyiv, Ukraine

Nataliia

A. G. Zrazhevsky, Head of Analytical Department at American Optimal Decision, Florida, USA

Oleksii Zrazhevskyi,

Ph.D. in Technical Sciences, Head of Analytical Department at American Optimal Decision, Florida, USA

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Published

2016-09-26

Issue

No. 3 (2016)

Section

Mathematical methods, models, problems and technologies for complex systems research

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