Τεχνικές Value – at – Risk για αποδόσεις μετοχών
KeywordsValue – at – Risk (VaR) ; Αποδόσεις ; Kατανομή ; GARCH ; EWMA ; Tail Index Estimator ; Historical simulation ; Monte Carlo simulation ; Backtesting ; Likelihood Ratio test
In this thesis a variety of Value – at – Risk (VaR) techniques is demonstrated and implemented on the returns of American Index S&P 500. These techniques will be applied to two different periods; that is, prior to and during the financial crisis. Firstly, there is a detailed reference to the significance of VaR in Risk Management, as well as to its mandatory implementation according to the directives of Basle Committee. Furthermore, the theoretical background of every technique is presented and a statistical tool for their evaluation is proposed. Finally, several empirical results of these applied techniques and several conclusions derived from their application are presented.