Methods of risk aggregation on financial markets
|Author:||Mgr. Jana Pavlovičová|
|Year:||2011 - summer|
|Leaders:|| PhDr. Petr Gapko Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||This diploma thesis „Methods of risk aggregation on financial markets“ introduces all kinds
of risk that are present on the financial markets. In the first part there are explained the
ways and methods of measurement of these risks. Next there are shown the methods of
aggregation of credit, market and operational risks. One of these methods are copula
functions which are constructed in practical part of this thesis.