Υπολογισμός του Value-at-Risk με την χρήση γενικευμένων αυτοπαλίνδρομων υπό συνθήκη ετεροσκεδαστικότητας υποδειγμάτων στον ευρωπαϊκό τραπεζικό κλάδο

Μαρκάκης, Μάριος

Estimation of Value at Risk using generalized autoregressive conditional heteroskedastic models in european banking sector

Master Thesis

Author

Μαρκάκης, Μάριος

Date

2015-11

Abstract

Τhis thesis presents the concepts of the Banking System , the Risk and its calculation using the Value At Risk methodology (VAR). This method calculates a number that expresses the maximum expected loss for a given confidence level and given horizon. Specifically, the VAR is calculated by combining time series analysis (ARIMA) and generalized autoregressive conditional heteroskedasticity models (GARCH). This method is applied to the equity returns of specific European banks trying spoting variations in results, variations due to different economic sizes of the economies in which the under study banks are located.

Postgraduate Studies Programme

Εφαρμοσμένη Στατιστική

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

Number of pages

121

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/8963

Collections

Τμήμα Στατιστικής και Ασφαλιστικής Επιστήμης

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