APPLICATION OF THE VALUE-AT-RISK METHODOLOGY ON THE CAPITAL MARKET

Vaduva Maria
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Vaduva Maria: CONSTANTIN BRANCUSI UNIVERSITY IN TARGU-JIU

Annals - Economy Series, 2024, vol. 6II, 264-269

Abstract: The analysis of the VaR framework methodology will begin by defining the concept and highlighting its advantages and disadvantages, followed by an examination of different VaR calculation methods for portfolios exposed to market risk. VaR serves to evaluate the total risk of a portfolio of financial assets, expressed by a single value. Its use has grown significantly among corporate treasurers, investment fund managers and generally all financial institutions. The VaR methodology is a way of assessing risk. This concept is not recent. In reality, many financial institutions around the world were already applying procedures similar to value at risk (previously known as money at risk or dollars at risk). Risk is an inevitable aspect of investment and finance that must be properly assessed and managed. A commonly used method to quantify the risk of loss associated with a portfolio or investment is known as Value at Risk (VaR). You can think of it as a personal dollar risk calculator that evaluates all the pros and cons of an investment, helping you determine whether you're in a favorable or unfavorable situation. The purpose of this article is to introduce you to this risk model and show you how you can apply it more effectively in your company.

Keywords: capital; metode; model; risc (search for similar items in EconPapers)
Date: 2024
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