Managementul riscului portofoliilor utilizând metodologia Value-at-Risk
The Value-at-Risk Methodology Applied in Portfolio Risk Management
Author(s): Delia Pulcher, Dorina LazărSubject(s): Economy
Published by: Alma Mater & Universitatea »Babes Bolyai« Cluj - Facultatea de St. Economice si Gestiunea Afacerilor
Keywords: value at risk; Monte Carlo simulation; portfolio; optimization
Summary/Abstract: Value-at-Risk (VaR) is one of the most widely used risk measurement instrument. Its importance was confi rmed by the success of RiskMetrics and by the Basel II Capital Accord that recommended the use of Value-at-Risk models concerning internal rating for fi nancial institutions. The objective of this paper is to present how VaR can be an effi cient tool in portfolio risk management and portfolio optimization. The methodology used to estimate the VaR of a portfolio is Monte Carlo simulation
Journal: Revista de Studii şi Cercetări Economice Virgil Madgearu
- Issue Year: 2008
- Issue No: 02
- Page Range: 184-194
- Page Count: 11
- Language: Romanian