Μελέτη και διερεύνηση του κινδύνου με υπό συνθήκη ετεροσκεδαστικότητας υποδείγματα σε μέσο όρο

Αποστολοπούλου, Ηράκλεια

Master Thesis

Author

Αποστολοπούλου, Ηράκλεια

Date

2018-01

Abstract

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.

Postgraduate Studies Programme

Εφαρμοσμένη Στατιστική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

108

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/10995

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Show full item record

Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές