Unit:
Κατεύθυνση Διαχείρισης Κεφαλαίων και ΚινδύνωνLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Tamprantzis Vasileios
Supervisors info:
Γεώργιος Δότσης, Επίκουρος Καθηγητής, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Original Title:
Εκτίμηση (VAR) σε χαρτοφυλάκιο και σύγκριση μεθόδων
Translated title:
Estimation (VAR) in portfolio and comparing methods
Summary:
The rise in the complexity and volume of money markets in the last decades gave rise to the need of elaborating a method of risk measurement. That necessity was satisfied by means of the VaR method which became widely accepted. The value at risk (VaR) plays a considerable role in risk management. The above-mentioned method provides the person concerned with a number expressing the maximum expected loss of an investment for a given period of time and a given level of confidence. Despite the fact that VaR has some limitations it is the best, independent risk measurement technique available. The present thesis aims at measuring the VaR of a portfolio consisting of four shares of four European Banks and at presenting and comparing methods of VaR measurement.
Main subject category:
Social, Political and Economic sciences
Keywords:
Risk, risk management, value at risk (VaR), Historical Simulation Method, descriptive statistical measures.
File:
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Διπλωματική Εργασία Ταμπραντζής .pdf
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