||The purpose of the study is the application of a new risk measure,
called GlueVaR, into investment risk assessment. This measure is closely related
to Value-at-Risk (VaR) and Conditional VaR (CVaR). In the literature
describing theoretical background of VaR and CVaR certain properties of risk
measures are highlighted. The first one is a the good risk measure has to be
coherent, and the second one is that both VaR and CVaR belong to the class of
distortion risk measures. As far as it is concerned, VaR is not a coherent risk
measure because, it does not meet the subadditivity property. This unfulfilled
property has a particular application in risk analysis, especially in extreme risk
measurement. On the other hand, distortion risk measures are associated with
an investor’s risk attitude which is an individual attribute of any decision-maker.
The research area chosen for this study is the metal market divided into two
natural sub-markets: The precious metals and the non-ferrous metals market.
Risk measures as VaR, CVaR and GlueVaR are calculated and the results are
associated with the investor’s attitude toward risk.