Σύγκριση μέτρων κινδύνου επενδυτικών χαρτοφυλακίων
Comparison of risk measures for investment portfolios
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Keywords
Diversification ; Value at Risk ; Expected shortfall ; Historical simulation ; Monte Carlo simulationAbstract
The financial institutions in order to cope with the risks of the market, they have developed the last decades a variety of methods and techniques for risk modeling and measurement, in order to estimate them property and prevent unfortunate situations. Thus, many models have been created for the purpose of quantification and the measurement of risk. In this thesis, we study the two of the most common risk measures the Value at Risk and the Conditional Value at Risk or Expected Shortfall and compare them. At first, we define these measures and state what they represent. Also, we list the advantages and disadvantages of each measure and then use two different methods to estimate them. Specifically, in chapter 2 we use the method of Historical Simulation, as well an extension of the classic method which is Weighted Historical Simulation. In chapter 3, we use the simulation method Monte Carlo in order to estimate the measures above. Finally, in chapter 4 we state our conclusions for the comparison of the two methods.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
69Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές