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- W293236342 abstract "The main goal of this article is to present extreme market risk evaluation methods which go beyond the standard Value at Risk methodology. Two main approaches: Expected Tail Loss (ETL) and Extreme Value Theory (EVT) are presented and then applied to simulate interest risk stemming from government debt portfolio held by Polish banks. The two methods seem to be very useful to estimate real market risk exposures during the times of distress on the financial markets. (abstrakt oryginalny)" @default.
- W293236342 created "2016-06-24" @default.
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- W293236342 date "2013-01-01" @default.
- W293236342 modified "2023-09-24" @default.
- W293236342 title "Modelling extreme market risk of Polish banks' debt instruments' portfolios. Ekonometria = Econometrics, 2013, Nr 3 (41), s. 113-130" @default.
- W293236342 hasPublicationYear "2013" @default.
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