ACTA UNIVERSITATIS APULENSIS No 16/2008 RISK MANAGEMENT USING VAR SIMULATION WITH APPLICATIONS TO BUCHAREST STOCK EXCHANGE
نویسنده
چکیده
In a recent paper, we have proposed and analyzed, from a theoretical point of view, a multidimensional stock market model (see [?]). In this paper, we construct a portfolio of stocks for a particular case of this market model. We introduce the Value at Risk, as a powerful tool for managing risks, which follow from holding such a portfolio. We present a mathematical calculation of Value at Risk for our market model. Using this mathematical framework, we develop Monte Carlo, Quasi-Monte Carlo and Mixed Monte Carlo and Quasi-Monte Carlo algorithms for the estimation of Value at Risk. We apply the developed methods to portfolios from Bucharest Stock Exchange. 2000 Mathematics Subject Classification: 11K36, 65C05, 91B28, 91B30, 91B70.
منابع مشابه
Estimation of Value at Risk (VaR) Based On Lévy-GARCH Models: Evidence from Tehran Stock Exchange
This paper aims to estimate the Value-at-Risk (VaR) using GARCH type models with improved return distribution. Value at Risk (VaR) is an essential benchmark for measuring the risk of financial markets quantitatively. The parametric method, historical simulation, and Monte Carlo simulation have been proposed in several financial mathematics and engineering studies to calculate VaR, that each of ...
متن کاملACTA UNIVERSITATIS APULENSIS No 16/2008 SOME PROPERTIES INVOLVING QUASI-CONVOLUTION PRODUCTS CONCERNING SOME SPECIAL CLASSES OF UNIVALENT FUNCTIONS
In this paper we give some sample properties involving quasiconvolution products of functions with negative coefficients. 2000 Mathematics Subject Classification: 30C45
متن کاملEvaluation Approaches of Value at Risk for Tehran Stock Exchange
The purpose of this study is estimation of daily Value at Risk (VaR) for total index of Tehran Stock Exchange using parametric, nonparametric and semi-parametric approaches. Conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated VaR and also to compare the performance of mentioned approaches. In most cases, based on backtesting statistics Results, ...
متن کاملMarket Risk Recognition by Different Models in Listed Banks of Tehran Stock Exchange and OTC
One of the most important methods employed to measure the market risk is value at risk calculation method. In this study, the value at risk of banks listed on the Tehran Stock Exchange and Over-the-counter (OTC) are calculated using parametric model, Monte Carlo simulation, historical simulation and Two-Sided Power (TSP) Distribution. The sample includes all listed banks in Iran. The results sh...
متن کاملACTA UNIVERSITATIS APULENSIS No 15/2008 CHARACTERIZATIONS OF NONNEGATIVE SELFADJOINT EXTENSIONS
The set of all nonnegative selfadjoint extensions of a nonnegative linear relation (multi-valued operator) is described by using a partial order defined on the set of the corresponding quadratic forms. This characterization leads to a generalization of a result due to M.G. Krĕın. 2000 Mathematics Subject Classification: 47A06, 47A20, 47B25, 47A63.
متن کامل