Value at risk: risk assessment methodology and its Implementation in a portfolio of international stock market indices

Postgraduate Thesis uoadl:2836942 356 Read counter

Unit:
Κατεύθυνση Διαχείρισης Κεφαλαίων και Κινδύνων
Library of the Faculty of Economics and of the Faculty of Business Administration
Deposit date:
2018-12-05
Year:
2018
Author:
Zogoula Christina
Supervisors info:
Δότσης Γεώργιος - Επίκουρος Καθηγητής Τομέα IV, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Original Title:
Value at risk: μεθοδολογία εκτίμησης του κινδύνου και εφαρμογή της σε χαρτοφυλάκιο διεθνών χρηματιστηριακών δεικτών
Languages:
Greek
Translated title:
Value at risk: risk assessment methodology and its Implementation in a portfolio of international stock market indices
Summary:
In the present study, we will present a series of basic techniques for assessing risk. These techniques include Delta- Normal, Historical Simulation, Monte Carlo Simulation, and GARCH model. The paper is divided into two main parts. In the first part, the theory on the different types of risk is presented, as well as the models which have essentially defined the meaning and measurement of risk. In the second part of the study, we focused on describing risk assessment methods and, taking our data into account, we implemented the aforementioned techniques for its assessment. The main purpose of this paper is to comprehend the meaning and different forms of risk and, on a second note, the basic methods of assessing and quantifying risk.
Main subject category:
Social, Political and Economic sciences
Keywords:
Risk, risk management, Basel I, II,III,Value-at-Risk (VaR), Historical Simulation method,Garch Model
Index:
No
Number of index pages:
0
Contains images:
Yes
Number of references:
21
Number of pages:
50
Ζωγούλα Χριστίνα_ Risk Management.pdf (1 MB) Open in new window