Τεχνικές πρόβλεψης χρηματοοικονομικών κινδύνων
Forecasting financial risk
Νίκογλου, Ανδρέας Α.
The present thesis focuses on both the definition of risk and the presentation of the most important risk measures that are used in modern economic science, as well as the presentation and implementation of basic techniques for measuring and forecasting financial risk. The outline of this thesis is as follows: In the first chapter, an introduction in risk concept is given and the basic mathematical and statistical tools that are used in finance in order to study markets from a qualitative as well as quantitative point of view are provided. In the following chapters (chapters 2, 3) the most popular risk measures with emphasis on the Value at Risk (VaR) are presented. Furthermore, frequently used state-of-the-art techniques applied in market risk management are introduced and classified based on statistical properties and time dependence of the financial variables. In each case, selected examples are provided along with references to the relevant literature. The implementation of risk management techniques including risk forecasting, which have been thoroughly analyzed, is discussed in the last chapter both in case of individual assets (stocks) and a balanced portfolio consisting of four stocks. The programming language R has been used and the source code is listed in the Appendix A’. The historical data on the adjusted close prices have been selected from free on-line databases.