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JOURNAL OF INTERNATIONAL STUDIES


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ISSN: 2306-3483 (Online), 2071-8330 (Print)



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Compatibility of market risk measures

Vol. 8, No 2, 2015

Grzegorz Mentel

 

Rzeszow University of Technology, Rzeszow, Poland

 

gmentel@prz.edu.pl

Compatibility of market risk measures

 

 Jacek Brożyna

 

Rzeszow University of Technology, Rzeszow, Poland

 

jacek.brozyna@prz.edu.pl

Abstract. An important element of everyday financial decisions is to assess the scale of the risk of investing in various financial products. Knowledge on the degree of risk of the activities undertaken in this field allows a certain predictability about the negative effects that may occur. This is of great importance in the context of aversion to risk, and thus a better allocation of resources. A multitude of market risk measures is substantial and in addition they provide information about the risk of investment considered in a different perspective and form. A very interesting issue is the scale compatibility of these measures. It is important whether such measures to the same extent define the scale of risk and whether any signals about the dangers overlap in time. The above considerations based on the value at risk and so-caled RiskGrade have become a contribution to the creation of this publication.

 

Received: April, 2015

1st Revision: May, 2015

Accepted: July, 2015

DOI: 10.14254/2071-

8330.2015/8-2/5

JEL Classification: C01, C5, C58, G32

Keywords: value-at-risk, RiskGrade, modeling, risk, prediction