THE RISK OF THE POLISH EQUITY FUNDS IN THE YEARS 2004-2018 DETERMINED USING THE VAR AND CVAR MEASURES
THE RISK OF THE POLISH EQUITY FUNDS IN THE YEARS 2004-2018 DETERMINED USING THE VAR AND CVAR MEASURES
Author(s): Dorota Żebrowska-SuchodolskaSubject(s): Business Economy / Management, Economic history, International relations/trade, Methodology and research technology, Present Times (2010 - today), Financial Markets, ICT Information and Communications Technologies
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: investment risk; open-end mutual funds; Value at Risk (VaR); conditional Value at Risk (CVaR);
Summary/Abstract: The work analyzed Polish equity funds due to the risk associated with investing in this type of instruments. The study was conducted using risk measures. ie Value at Risk (VaR) and conditional Value at Risk (CVaR). Similarity was measured using the tau-Kendall coefficient. The study examined 15 equity funds that existed in Poland since 2004. The entire research period (2004-2018) was divided into shorter periods ie 2-. 3-. 4- and 5-year periods. The fund rankings based on VaR and CVaR risks gave 15 similar results. In periods of big changes in the economic situation the measures were not able to properly estimate the risk.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XX/2019
- Issue No: 1
- Page Range: 72-82
- Page Count: 11
- Language: English
