Object

Title: Risk management on the metals market

Title in english:

Zarządzanie ryzykiem na rynku metali

Creator:

Krężołek, Dominik ; Trzpiot, Grażyna

Description:

Econometrics = Ekonometria, 2020, Vol. 24, No. 2, s. 86-97

Abstrakt:

The purpose of this paper is to attempt to classify risk which can be observed when one deals with data from the metals market. Usually the general definition of risk includes two dimensions. The first one is the probability of occurrence and the second one are the associated consequences of a set of hazardous scenarios. In this research the authors try to add a new dimension: the source of risk, which can be defined in terms of the level of turnover (volatility of volume) and price (volatility of returns). One can categorize risks in terms of multidimensional ranking based on a comparative evaluation of the consequences, probability, and source of a given risk. Another dimension is the chosen risk measures, in the meaning of the risk model. In risk analysis, some selected quantile risk measures were proposed: VaR, Expected Shortfall, Median Shortfall and GlueVaR. The empirical part presents a multidimensional risk analysis of the metal market

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2020

Resource Type:

artykuł

Resource Identifier:

doi:10.15611/eada.2020.2.06 ; oai:dbc.wroc.pl:75974

Language:

eng

Relation:

Econometrics = Ekonometria, 2020, Vol. 24, No. 2

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Ekonometria = Econometrics

Edition name Date
Risk management on the metals market Jul 23, 2020

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