Αποτίμηση κινδύνου χαρτοφυλακίων με τη μέθοδο VaR μέσω προσωμοίωσης
Αγκυρόπουλος, Χαράλαμπος Λ.
This thesis examines the concept of risk in terms of measuring the value of a portfolio using the method of Value-at-Risk (VaR). The VaR method summarizes the worst loss over a target horizon with a given level of confidence and there are several methods in the literature used to estimate its value. This thesis uses the Monte Carlo simulation technique to evaluate its performance for various values of level of confidence and number of trials. In addition, the Kupiec test is applied to this model to verify the reliability of the results obtained from this method.