Υπολογισμός της Αξίας σε Κίνδυνο (Value at Risk) των χρηματιστηριακών τίτλων των εισηγμένων στο Χρηματιστήριο Αξιών Αθηνών εταιριών του κλάδου των ιατρικών υπηρεσιών
Measuring Value at Risk for companies of the health services sector of Athens Stock Exchange Market
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Subject
Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Risk management -- Econometric models ; Χρηματιστήριο Αξιών Αθηνών ; Stock exchanges ; Υπηρεσίες υγείας ; Health care servicesAbstract
This thesis develops the concept of Risk as it is obtained by the Value at Risk (VaR) method. This technique estimates the maximum expected loss of an investment for a given time period at a given confidence level. This is accomplished by combining times series analysis (ARIMA analysis) and generalized autoregressive conditional heteroskedastic (GARCH) models. By the use of these models, VaR is estimated as one-step-ahead forecast of the process. In this study, VaR method is applied to log returns of stock prices of companies that belong to the sector of health services of Athens Stock Exchange Market in order to determine risk on individual and marketwise basis.
Postgraduate Studies Programme
Οικονομικά και Διοίκηση της ΥγείαςDepartment
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οικονομικής ΕπιστήμηςCorporate Department
Ανώτατο Εκπαιδευτικό Ίδρυμα Πειραιά Τεχνολογικού ΤομέαNumber of pages
62Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές