Analysis of quantile measures of evaluation of financial risk

Galyna Ivanivna Velykoivanenko


The approaches to the quantitative assessment of the risks arising from the operation of financial markets are analysed. There have been formulated the benefits of using of quantile measures of risk Value-at-Risk to assess the financial risks, namely, the ability to: assess the risk of potential losses in accordance with their occurrence; aggregate risks of individual assets into a single value for the portfolio, taking into account information about assets quantity, volatility and time; to evaluate and compare the risks of different financial instruments for various portfolios of financial instruments , various types of financial risks on one and in different markets. Taking into consideration the known parameters of the probability distribution of the random variable return ( loss) of financial instruments there has been proposed to use effective assessment of values which are based on the notion of quantile distribution. The proposed estimations take into account the objective- subjective structure of risk, namely , level of profitability or unprofitability (average, expected, desired etc.) , the rate of deviation from that level of profitability or losses and the level of aversion ( tendency ) of the decision solutions to the risk of a given probability α, which reflects the personal attitud. There has been carried out the analysis and have been determined the conditions under which preferred specific assessment is provided.


quantile distribution; quantile measures of risk; methodology Value-at-Risk; effective value of the index; the objective- subjective structure risk

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Science Works Journal "Ekonomichnyy analiz"

ISSN 1993-0259 (Print)  ISSN 2219-4649 (Online) DOI: 10.35774/econa

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