Τεχνικές πρόβλεψης χρηματοοικονομικών κινδύνων
Forecasting financial risk
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Keywords
Κίνδυνος ; Χρηματοοικονομικός κίνδυνος ; Value – at – Risk (VaR) ; ΧαρτοφυλάκιαAbstract
The present thesis focuses on both the definition of risk and the presentation of
the most important risk measures that are used in modern economic science, as
well as the presentation and implementation of basic techniques for measuring and
forecasting financial risk.
The outline of this thesis is as follows: In the first chapter, an introduction in risk
concept is given and the basic mathematical and statistical tools that are used in
finance in order to study markets from a qualitative as well as quantitative point of
view are provided.
In the following chapters (chapters 2, 3) the most popular risk measures with emphasis
on the Value at Risk (VaR) are presented. Furthermore, frequently used
state-of-the-art techniques applied in market risk management are introduced and
classified based on statistical properties and time dependence of the financial variables.
In each case, selected examples are provided along with references to the
relevant literature.
The implementation of risk management techniques including risk forecasting,
which have been thoroughly analyzed, is discussed in the last chapter both in case
of individual assets (stocks) and a balanced portfolio consisting of four stocks. The
programming language R has been used and the source code is listed in the Appendix
A’. The historical data on the adjusted close prices have been selected from
free on-line databases.
Postgraduate Studies Programme
Εφαρμοσμένη ΣτατιστικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
99Language
GreekCollections
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές