Materiały nieopublikowane (WPiA)
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Item Intertemporalne problemy związane z obowiązkami firm audytorskich wprowadzonymi ustawą z dnia 19 lipca 2019 r. o zmianie ustawy o biegłych rewidentach, firmach audytorskich oraz nadzorze publicznym oraz niektórych innych ustaw(2021-01-29) Ślebzak, Krzysztof; Zieliński, Maciej JakubCelem opracowania jest przedstawienie intertemporalnych problemów związanych z obowiązkami firm audytorskich wprowadzonymi ustawą z dnia 19 lipca 2019 r. o zmianie ustawy o biegłych rewidentach, firmach audytorskich oraz nadzorze publicznym oraz niektórych innych ustaw, w zakresie dotyczącym konieczności ich realizacji również za okresy przed wejściem w życie przedmiotowej ustawy zmieniającej.Item Forecasting the Volatility of Volatility with Parametric ModelsKhemissi, ElizaThe purpose of the research is the assessment of forecasts performance of the VVIX Index, in other words the volatility of volatility index. The survey concerns the periods including the subprime crisis and the debt crisis. The intention of the author is to get to know the forecasting properties of volatility of volatility and to compare its econometric characteristics with that of classical implied volatility in subprime crisis. The significance of volatility of volatility emerges from the possibility of predicting the falls of exchange quotations on a stock market on the basis of it.Item Axiomatic Extension of Risk MeasurementBuszkowska-Khemissi, ElizaIn the article the author introduce and prove the additional axiom of measure of risk. She checks, by the method of mathematical proving, which from the well-known functions of risk fulfill this additional axiom. This proofs will be conducted for functions such as: Value at Risk, Expected Shortfall, Median, Abso-lute Median Deviation, Maximum , Maximum Loss, Half Range, and Arithmetic Average. In other words the purpose of the paper is studying which from the above functions fulfill the additional axiom of measure of risk, which can enrich the Arzner’s and other axioms. This axiom is not a consequence of the Arzner’s and other axioms. Furthermore the author researches mathematically if mentioned func-tions of risk retain properties after replacing the stochastic order with partial order. At the end the author presents the new measure of risk which fulfill all the axioms of measure of risk and the additional axiom.