Krezolek, Dominik and Trzpiot, Grazyna - Archives of Data Science, Series A

Article Details

Title The Application of the GlueVaR Measure in Risk Assessment on the Metal Market
Authors Krezolek, Dominik and Trzpiot, Grazyna
Year 2017
Volume 2(2)
Abstract 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.