Non-parametric Bootstrap Method in Risk Management

The process of risk management is a relatively new part of business entities and it arose due to the enormous quick changes in the market conditions. There are two basic approaches in the field of risk management; one of them determines the distribution based on the expert estimations and the other one estimates the probability distribution on the basis of the observed data. There are two types of methods to determine the risk factors: parametric and non-parametric. The aim of this paper is to analyze the group of non-parametric methods, its algorithms and theoretical background, with main emphasis given to the theoretical and practical application of a non- parametric bootstrap method. (C) 2015 The Authors. Published by Elsevier B.V.