Τεχνικές Value – at – Risk για αποδόσεις μετοχών
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Subject
Μετοχικές αποδόσειςKeywords
Value – at – Risk (VaR) ; Αποδόσεις ; Kατανομή ; GARCH ; EWMA ; Tail Index Estimator ; Historical simulation ; Monte Carlo simulation ; Backtesting ; Likelihood Ratio testAbstract
In this thesis a variety of Value – at – Risk (VaR) techniques is
demonstrated and implemented on the returns of American Index S&P 500.
These techniques will be applied to two different periods; that is, prior to and
during the financial crisis. Firstly, there is a detailed reference to the
significance of VaR in Risk Management, as well as to its mandatory
implementation according to the directives of Basle Committee. Furthermore,
the theoretical background of every technique is presented and a statistical
tool for their evaluation is proposed. Finally, several empirical results of these
applied techniques and several conclusions derived from their application are
presented.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
85Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές