Title:

The use of Value-at-Risk methodology in the assessment of investor’s risk attitudes on the precious metals market

Group publication title:

Ekonometria = Econometrics

Title in english:

Zastosowanie metodologii Value-at-Risk w ocenie postaw inwestora wobec ryzyka na rynku metali

Creator:

Krężołek, Dominik

Subject and Keywords:

risk ; precious metals market ; subadditivity ; VaR ; GlueVaR ; ryzyko ; rynek metali szlachetnych ; subaddytywność

Description:

Ekonometria = Econometrics, 2017, Nr 3 (57), s. 101-112

Abstrakt:

The decision making process is directly associated with risk, no matter what area of interest it is. In the case of financial investments we can define a special type of risk called investment risk. Taking into account the financial time series of assets’ characteristics (prices, returns), small deviations of future values comparing to their expected level are not a major threat to the investor’s portfolio. In contrast, if the changes in prices/returns are significant, unpredictable and result from unexpected and adverse events, one should pay attention to the proper risk measurement. The topic of this article refers to the new family of risk measures related to investments in assets on the precious metals market. These risk measures are called the GlueVaR risk measures. The name itself suggests that the GlueVaR is related to the commonly used measure of risk – VaR. As will be presented in the article, the family of the GlueVaR risk measures may be expressed as a linear combination of VaR and conditional VaR for fixed tolerance levels. Moreover, the new risk measure allows for assessing risk more personally, taking into account the investor’s attitudes towards risk. If portfolio investments are of interest, the GlueVaR risk measures meet the assumption of subadditivity. This property of risk measure is required, as it is strongly related to the diver-sification problem

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/ekt.2017.3.08

Language:

eng

Relation:

Ekonometria = Econometrics, 2017, Nr 3 (57)

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu