BEHAVIOURAL APPROACH TO THE RISK MANAGEMENT

In this paper we discuss popular risk measures of risk, their attractions and limitations. In the first chapter, we consider classical approaches to risk management. There we can see the development of measures of risk and moreover, we consider the index options of statistical estimates of quantile measures of risk. On their analysis my diploma thesis was based. The main purpose was the formation of investment portfolio based on such combinations of measures of risk. In the second chapter, the future work is represented. There we present the prospect and cumulative prospect theories. We discuss again the previous models under behavioral finance framework. We propose a new measure based on Value at Risk by using assumptions of behavioral finance and try to make suggestions on other measures. Background Nowadays the analysis and estimation of market risks becomes one of the most actual problems at the formation of a portfolio of securities. Strengthening o