RISK ASSESSMENT OF A STOCK PORTFOLIO USING VALUE-AT-RISK
RISK ASSESSMENT OF A STOCK PORTFOLIO USING VALUE-AT-RISK
Author(s): Adrian-Nicolae CăpățînăSubject(s): Economy
Published by: Editura Mustang
Keywords: Value at Risk; volatility; GARCH; Backtesting; portfolio; stock market
Summary/Abstract: This paper aims to evaluate the risk for of a stock portfolio using Value-at-Risk, being of interest to both financial institutions and potential individual investors. Using the portfolio's daily returns over a two-year period, the volatility will be estimated with various specifications of GARCH (GARCH, IGARCH, EGARCH, TGARCH), and normal, t-student and GED errors distributions. Then we will identify the optimal volatility estimation model required in the VaR calculation using the backtesting method.
Journal: Revista de Studii Financiare
- Issue Year: 2/2017
- Issue No: 3
- Page Range: 143-160
- Page Count: 18
- Language: English, Romanian