Μελέτη και διερεύνηση του κινδύνου με υπό συνθήκη ετεροσκεδαστικότητας υποδείγματα σε μέσο όρο
This thesis describes the operation of the Banking System of Greece and presents the concept of risk governing its operation. The VaR method is presented as the most well-known method of calculating risk, which calculates the maximum expected loss for a given confidence level. The VaR relies on the time series analysis (ARIMA) and generalized autoregressive conditional heteroscedasticity models (GARCH). These models are applied to the equity returns of specific Greek banks during three time periods and the VaR is calculated; the results are explicated in the general scope of economic variation of the country.