Υπολογισμός αξίας σε κίνδυνο στις τραπεζικές μετοχές εισηγμένων στο ΧΑΑ
Value-at-Risk estimation of bank stocks listed in stock market of Athens
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Subject
Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Value at Risk ; Διαχείριση χαρτοφυλακίου ; Μετοχές ; Τραπεζική οικονομικήAbstract
Market risk of a portfolio is related to the possibility of financial loss due to combined movement of economic variables, such as interest and exchange rates. Quantification of market risk is of crucial importance for the financial organisations and regulatory authorities, as it ensures the safety of the capital and the adequacy of financial flows. The typical way of calculating market risk regards a conservative one-tail confidence interval of the losses of the portfolio for a short forecast horizon, which is called Capital-at-Risk (CaR) or Value-at-Risk (VaR). This issue measures market risk of portfolios, based on indices of banks’ stocks of the Athen’s Stock Exchange Market using VaR measures, confirming the basic consequents of the bibliography regarding their weaknesses. For the estimation of these measures the methods that are used, are the parametric method of covariance, the historical stimulation, and the ARCH, GARCH. The analysis is elaborated with the assistance of EVIEWS, SPSS and EXCEL.
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GreekCollections
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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