{"id":781,"date":"2018-01-15T09:58:47","date_gmt":"2018-01-15T08:58:47","guid":{"rendered":"https:\/\/ssad.statistics.sk\/SSaD\/?p=781"},"modified":"2019-04-15T09:16:31","modified_gmt":"2019-04-15T07:16:31","slug":"vyuzitie-jazyka-r-na-odhad-mier-rizika-s-vyuzitim-simulacii","status":"publish","type":"post","link":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/vyuzitie-jazyka-r-na-odhad-mier-rizika-s-vyuzitim-simulacii\/","title":{"rendered":"Vyu\u017eitie jazyka R na odhad mier rizika s vyu\u017eit\u00edm simul\u00e1ci\u00ed"},"content":{"rendered":"

Michal P\u00e1le\u0161, Fakulta hospod\u00e1rskej informatiky, Ekonomick\u00e1 univerzita v Bratislave, Slovensk\u00e1 republika
\n<\/p>\n

Strany: 3 – 17<\/p>\n

Abstrakt<\/h5>\n

Jedna z \u00faloh anal\u00fdzy rizika m\u00f4\u017ee predstavova\u0165 ur\u010denie najvhodnej\u0161ieho stochastick\u00e9ho modelu v podobe n\u00e1hodnej premennej opisuj\u00facej dostupn\u00e9 \u00fadaje. Tieto modely s\u00fa z\u00e1kladn\u00fdmi jednotkami sofistikovanej\u0161\u00edch modelov ur\u010den\u00fdch na kvantifik\u00e1ciu rizika. V r\u00e1mci kolekt\u00edvneho modelu rizika potom predikujeme rozdelenie pravdepodobnosti po\u010dtu \u0161k\u00f4d, individu\u00e1lnej v\u00fd\u0161ky \u0161kody a agregovanej \u0161kody. N\u00e1sledne je d\u00f4le\u017eit\u00e9 zvoli\u0165 miery rizika, ktor\u00fdmi budeme sk\u00faman\u00e9 riziko mera\u0165. Jednou z u\u017eito\u010dn\u00fdch met\u00f3d, ktor\u00e1 sl\u00fa\u017ei na meranie riz\u00edk je met\u00f3da hodnoty v riziku (VaR) spo\u010d\u00edvaj\u00faca v ur\u010den\u00ed kvantilov pr\u00edslu\u0161n\u00fdch rozdelen\u00ed, ktor\u00fa mo\u017eno roz\u0161\u00edri\u0165 prostredn\u00edctvom koherentnej podmienenej hodnoty v riziku (CVaR). Na z\u00e1klade t\u00fdchto hodn\u00f4t vie aktu\u00e1r modelova\u0165 ekonomick\u00fd kapit\u00e1l, ktor\u00fd zabezpe\u010d\u00ed solventnos\u0165 pois\u0165ovne s vysokou pravdepodobnos\u0165ou. Miery rizika VaR a najm\u00e4 CVaR mo\u017eno ur\u010di\u0165 viacer\u00fdmi met\u00f3dami, z ktor\u00fdch v\u00e4\u010d\u0161ina nie je jednoduch\u00e1. V tomto pr\u00edspevku predstav\u00edme simula\u010dn\u00e9 n\u00e1stroje jazyka R, ktor\u00e9 aktu\u00e1rovi umo\u017enia sofistikovane odhadova\u0165 tieto hodnoty.<\/p>\n

\n

\u010cl\u00e1nok na stiahnutie<\/span>
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Michal P\u00e1le\u0161, Fakulta hospod\u00e1rskej informatiky, Ekonomick\u00e1 univerzita v Bratislave, Slovensk\u00e1 republika<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_exactmetrics_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"categories":[175],"tags":[226,78,225,224,82,223,79],"class_list":["post-781","post","type-post","status-publish","format-standard","hentry","category-1-2018-vedecke-clanky","tag-analyza-rizik","tag-autor-michal-pales","tag-cvar","tag-hodnota-v-riziku","tag-jazyk-r","tag-miery-rizika","tag-solventnost-ii"],"_links":{"self":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/781","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/comments?post=781"}],"version-history":[{"count":3,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/781\/revisions"}],"predecessor-version":[{"id":990,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/posts\/781\/revisions\/990"}],"wp:attachment":[{"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/media?parent=781"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/categories?post=781"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/ssad.statistics.sk\/SSaD\/index.php\/wp-json\/wp\/v2\/tags?post=781"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}