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Evaluarea riscului unui portofoliu de acțiuni utilizând metoda Value at Risk

Author

Listed:
  • Căpățînă Adrian-Nicolae

    (Academia de Studii Economice din Bucureşti, România)

Abstract

Prezenta lucrare are ca scop evaluarea riscului pentru un portofoliu de acțiuni folosind metoda Value-at-Risk, fiind de interes atât pentru instituțiile financiare, cât și pentru posibili investitori individuali. Folosind randamentele zilnice ale portofoliului pe o perioadă de 2 ani, se va estima volatilitatea acestuia cu diverse specificații ale modelelor GARCH (GARCH, IGARCH, EGARCH, TGARCH) și distribuții ale erorilor normale, tsudent și GED. Ulterior se va identifica modelul optim de estimare a volatilității necesare în calculul VaR folosind metoda backtesting.

Suggested Citation

  • Căpățînă Adrian-Nicolae, 2017. "Evaluarea riscului unui portofoliu de acțiuni utilizând metoda Value at Risk," Journal of Financial Studies, Institute of Financial Studies, vol. 3(2), pages 140-156, June.
    • Handle: RePEc:fst:rfsisf:v:3:y:2017:i:2:p:140-156
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    More about this item

    Keywords

    Value at Risk; volatilitate; GARCH; backtesting; portofoliu; acțiuni;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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