THE USE OF VAR IN THE PROCESS OF TRANSACTION SYSTEM RISK REDUCTION: THE EXAMPLE OF DERIVATIVES Cover Image

THE USE OF VAR IN THE PROCESS OF TRANSACTION SYSTEM RISK REDUCTION: THE EXAMPLE OF DERIVATIVES
THE USE OF VAR IN THE PROCESS OF TRANSACTION SYSTEM RISK REDUCTION: THE EXAMPLE OF DERIVATIVES

Author(s): Radosław Pastusiak
Subject(s): Business Economy / Management, Economic history, Transformation Period (1990 - 2010), Financial Markets
Published by: Masarykova univerzita
Keywords: Value at Risk; risk; capital market; technical analysis; mechanical system;
Summary/Abstract: The goal of this paper was to show the applicability of VaR risk management tool to increase the efficiency of transaction system for the WIG20 futures traded on the Warsaw Stock Exchange. For this purpose, a simple but presenting high efficiency trading system based on data from the years 2003-2011 was built. It is a mechanical system, providing the investor with specific values signaling the reversal of position in everyday trading.

  • Page Range: 176-181
  • Page Count: 6
  • Publication Year: 2012
  • Language: English