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Description
  • The paper describes methodology of dealing with financial modelling under uncertainty with risk and vagueness aspects. An approach to modelling risks by the Value at Risk methodology under imprecise and soft conditions is solved. It is supposed that the input data and problem conditions is difficult to determine as real numbers or as some precise distribution function. Thus, vagueness is modelled through the fuzzy numbers of the linear T-number type. The combination of risk and vagueness is solved by fuzzy-stochastic methodology. Illustrative example is introduced.
  • The paper describes methodology of dealing with financial modelling under uncertainty with risk and vagueness aspects. An approach to modelling risks by the Value at Risk methodology under imprecise and soft conditions is solved. It is supposed that the input data and problem conditions is difficult to determine as real numbers or as some precise distribution function. Thus, vagueness is modelled through the fuzzy numbers of the linear T-number type. The combination of risk and vagueness is solved by fuzzy-stochastic methodology. Illustrative example is introduced. (en)
  • Tento příspěvek popisuje metodologii týkající se finančního modelování za nejistoty a rizika a neurčitých podmínek. Tento přístup modelování rizika pomocí metodologie Value at risk je řešen za nepřesnosti a měkkých podmínek. Předpokládá se, že vstupní data a problémové podmínky je obtížné určit jako reálná čísla nebo jako přesnou distribuční funkci. Proto je neurčitost modelována na základě fuzzy lineárního T-čísla. Kombinace rizika a neurčitosti je řešena fuzzy-stochastickou metodologií. Dále je uveden ilustrativní příklad. (cs)
Title
  • Value at Risk methodology under soft conditions approach (fuzzy-stochatic approach)
  • Value at Risk methodology under soft conditions approach (fuzzy-stochatic approach) (en)
  • Metodologie VaR za soft podmínek (fuzzy-stochastický přístup) (cs)
skos:prefLabel
  • Value at Risk methodology under soft conditions approach (fuzzy-stochatic approach)
  • Value at Risk methodology under soft conditions approach (fuzzy-stochatic approach) (en)
  • Metodologie VaR za soft podmínek (fuzzy-stochastický přístup) (cs)
skos:notation
  • RIV/61989100:27510/05:00011859!RIV06-GA0-27510___
http://linked.open.../vavai/riv/strany
  • 337-347
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/02/1046)
http://linked.open...iv/cisloPeriodika
  • 161
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 548484
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/05:00011859
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Bankovnictví; systém pro podporu rozhodování; finance; fuzzy set; analýza rizika; modelování nejistoty (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • US - Spojené státy americké
http://linked.open...ontrolniKodProRIV
  • [3E6219E9F2CD]
http://linked.open...i/riv/nazevZdroje
  • European Journal of Operational Research
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 2
http://linked.open...iv/tvurceVysledku
  • Zmeškal, Zdeněk
issn
  • 0377-2217
number of pages
http://localhost/t...ganizacniJednotka
  • 27510
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