IDEAS home Printed from https://ideas.repec.org/a/rsr/supplm/v62y2014i10p63-70.html
   My bibliography  Save this article

Using the Value at Risk Model in the Portfolio Management

Author

Listed:
  • Madalina Gabriela ANGHEL

    (“Artifex” University of Bucharest)

Abstract

In the frame of this article I have submitted the main elements describing the way to set up the VAR indicator – by means of various methods of calculation as well as a series of practical aspects concerning the estimation of the volatility for a financial asset through this type of econometric model, with direct applications on the capital market from our country. Using the Value at Risk model allows a more efficient allocation of the available financial resources, eliminating thus an over-exposure in connection with a single source of risk and allowing the investors of capital to adequately evaluate their activity and position on the capital market, depending on the risk level which they are willing to undertake. In the frame of this study, I have applied this method directly on a portfolio formed by ten equities in order to estimate the VaR level through stimulating various variants of portfolios, taking into account the various weights of the financial assets participation.

Suggested Citation

  • Madalina Gabriela ANGHEL, 2014. "Using the Value at Risk Model in the Portfolio Management," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 62(10), pages 63-70, Octomber.
    • Handle: RePEc:rsr:supplm:v:62:y:2014:i:10:p:63-70
    as

    Download full text from publisher

    File URL: http://www.revistadestatistica.ro/supliment/wp-content/uploads/2014/11/RRSS19_2014_A06.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsr:supplm:v:62:y:2014:i:10:p:63-70. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Adrian Visoiu (email available below). General contact details of provider: https://edirc.repec.org/data/stagvro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.