Оценяване на портфейлния пазарен риск чрез метода „стойност под риск“ (VaR) – историческа симулация
Portfolio Market Risk Assessment Using Value-at-Risk (VaR) Method – Historical Stimulation
Author(s): Sergei RadukanovSubject(s): Economy, National Economy, Business Economy / Management
Published by: Великотърновски университет „Св. св. Кирил и Методий”
Keywords: Market Risk; Value-at-Risk; Returns; Portfolio.
Summary/Abstract: One of the main VaR methods on theoretical aspect – Historical Simulation to Portfolio is explained in this article. Portfolio market risk measurement is carried out towards the shares of the particular companies – The Procter & Gamble Company (PG), Toyota Motor Corporation (TM) and Nokia Corporation (NOK).
Journal: Социално-икономически анализи
- Issue Year: 2019
- Issue No: 1
- Page Range: 81-94
- Page Count: 11
- Language: Bulgarian