Valuation of extreme risks in France and insurance

[J. Z. Stanković]

[17], 292 lista

Napomene i bibliografske reference uz tekst

Corporate finance, accounting and auditing; Corporate finance, Risk management and insurance

The trend of increased frequency of extreme risk occurrence has grown into a global problem in the field of finance, as same as in the insurance industry. For efficient risk management in the financial sector, it is necessary to choose appropriate instruments for the assessment and evaluation of risk. The generaly accepted model for risk valuation in financial institutions, the Value at Risk model, has not fulfilled the expectations of investors and financial institutions during the financial crisis in 2007/2008. The justification of the use of this model in the post-crisis period was strongly criticized, so it was necessary to make modifications and improvements in order to provide valid usage of the model even in terms of extreme risk. One way to improve the model is the estimation of the model parameters based on the extreme value theory, ...

ekstremni rizici, vrednost pod rizikom, teorija ekstremnih vrednosti

extreme risks, Value at Risk, Extreme Value Theory

330.131.7:[336+368(043.3)

S 181

Elektronska teza