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Misurare il rischio

In: Misurare e gestire il rischio finanziario

Author

Listed:
  • Francesco Menoncin

    (Università degli Studi di Brescia)

Abstract

Riassunto Il metodo della simulazione storica è utilizzato da Chase Manhattan (nei suoi sistemi Charisma™ e Risk$™) per misurare il rischio legato a ogni titolo indipendentemente dalla distribuzione dei suoi rendimenti. Tale metodo consiste nel calcolare un certo numero di variazioni passate che ci sono state nel prezzo di un titolo (o di più titoli) applicando, poi, le stesse variazioni ai prezzi correnti del titolo per determinare quali potranno essere i prezzi del periodo successivo. Si ipotizza, dunque, che la variazione tra il prezzo futuro e il prezzo corrente possa assumere uno qualsiasi dei valori che le variazioni del prezzo del titolo hanno avuto in passato.

Suggested Citation

  • Francesco Menoncin, 2009. "Misurare il rischio," Springer Books, in: Misurare e gestire il rischio finanziario, chapter 12, pages 161-193, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-1147-2_12
    DOI: 10.1007/978-88-470-1147-2_12
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