Ανάλυση και επισκόπηση υποδειγμάτων κινδύνου αγοράς
Master Thesis
Date
2006-11-10View/
Abstract
Growing interest in market risk measurement has resulted in the development of Value-at-Risk (VaR) models, which rank amongst the most popular risk management tools. The purpose of this dissertation is to explain the concept of Value-at-Risk and to describe certain calculation methods in detail. Furthermore, we look at the market risk management practices used by Greek financial institutions and we calculate the Value-at-Risk of two portfolios, consisting of shares listed on the Athens Exchange.
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές