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Defining and Measuring Bank’s Equity Risk: Evidence from the Erste Bank Group Romania

Author

Listed:
  • Ioana Ple?cãu

    (Alexandru Ioan Cuza University of Ia?i)

Abstract

In this paper we have computed and analyzed the VaR of Erste Bank Romania, in comparison with the VaRs of three important peers of this bank. We have used 500 daily stock returns in order to calculate values at risk with the historical simulations approach at a confidence level of 99%. Also, we have tested the hypothesis regarding the existence of a relationship between the VaR of the market index BET and the VaRs of each bank. Our findings could not reject this hypothesis.

Suggested Citation

  • Ioana Ple?cãu, 2015. "Defining and Measuring Bank’s Equity Risk: Evidence from the Erste Bank Group Romania," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 534-538, May.
    • Handle: RePEc:ovi:oviste:v:xv:y:2015:i:2:p:534-538
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    More about this item

    Keywords

    value at risk; market risk; historical simulations;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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