COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO

Croatian Operational Research Review

Šime Čorkalo¹ 

[1] Faculty of Economics University of Split, Split, Croatia;

关键词: Value at risk (VaR);    Variance-Covariance approach;    historical simulation;    bootstrapping;    comparing approaches;    stock portfolio;    pros and cons of VaR;   

DOI  :  

来源: DOAJ

【 摘 要 】

Value at risk is risk management tool for measuring and controlling market risks. Through this paper reader will get to know what value at risk is, how it can be calculated, what are the main characteristics, advantages and disadvantages of value at risk. Author compares the main approaches of calculating VaR and implements Variance-Covariance, Historical and Bootstrapping approach on stock portfolio. Finally results of empirical part are compared and presented using histogram.

【 授权许可】

Unknown