Μέτρηση του κινδύνου σε χαρτοφυλάκια παραγώγων
Risk measurement for derivative portfolios
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Keywords
Χαρτοφυλάκιο παραγώγων ; Μέτρηση κινδνύνου ; Value at Risk ; Μέθοδος Δέλτα ; Μέθοδος Δέλτα - Γάμμα ; Μέθοδος πλήρους αποτίμησηςAbstract
The purpose of this dissertation is to investigate and comparatively analyze modern
methods for measuring risk in portfolios containing stocks and derivative financial products. Risk management in such portfolios presents increased complexity due to the nonlinear dependence of the derivatives' value on changes in the underlying assets. To address
this challenge, this work examines three primary approaches in detail: the Delta method,
the enhanced Delta-Gamma approach, and the computationally demanding but more accurate Full Valuation method. The theoretical framework is completed with the final chapter,
in which an extensive empirical study is conducted to evaluate and compare the effectiveness of the methods under different market conditions. The statistical programming language R is utilized for the implementation of this study and for quantitative analysis, allowing for the practical application and testing of the theoretical models
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
76Language
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