Ανάλυση κινδύνου σε αποδόσεις μετοχών ευρωπαϊκών αεροπορικών εταιρειών με τη μέθοδο VaR
Risk analysis in European airlines stock returns with VaR method
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Keywords
Κίνδυνος ; Αβεβαιότητα ; Χρονοσειρές ; Λευκός θόρυβος ; Τυχαίος περίπατος ; Αυτοσυσχέτιση ; Μερική αυτοσυσχέτιση ; Στασιμότητα ; ARCH - GARCH υποδείγματα ; Value at Risk ; Μεικτά υποδείγματαAbstract
In this thesis, it was carried out a risk analysis process using the Value at Risk method on seven leading European Airlines stock returns. Before the description of this process and the definition of each series risk level, an introductory framework was formed. Specifically, in the first chapter it is unfolded, in detail, the facts that made the aviation industry what it is today. The history, the contemporary environment with industry opportunities and endorsements, core activities and costs, competitive advantages and the European framework, depict most of the modern aviation industry. The second chapter is dedicated to risk concept with the description of the term, risk categorization and finally, risk management for optimal decision-making. In the third chapter, it is described the risk analysis process with the most essential conceptual and econometric contributions to the best investment determination. In conclusion, risk analysis process is performed using the ARIMA models and the conditional heteroskedasticity ARCH – GARCH models. At the beginning of the chapter, each company profile is described and after that, with electronic programs support, it is given the data presentation, their behavior analyzation and finally, the risk degree of each of these investments.
Postgraduate Studies Programme
Πρόγραμμα Μεταπτυχιακών Σπουδών στη Διοίκηση Επιχειρήσεων (ΜΒΑ)Department
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οργάνωσης και Διοίκησης ΕπιχειρήσεωνNumber of pages
159Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα