Przeglądaj Acta Universitatis Lodziensis. Folia Oeconomica nr 196/2006 według tematu "Conditional-Value-at-Risk"
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Applications of VaR and CVaR Methods on Energy Market in Poland
(Wydawnictwo Uniwersytetu Łódzkiego, 2006)This article presents downside risk measures such as: Value-at-Risk - VaR and Conditional Value-at-Risk - CVaR. We establish them with three of the known methods. The electric energy is an article of real tame, which we ...