APPLICABILITY OF VALUE AT RISK ON ROMANIAN CAPITAL MARKET

Paula Andreea Terinte
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Paula Andreea Terinte: Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, p?ul?.terinte@y?hoo.ro, Iasi, Romania,

Journal of Public Administration, Finance and Law, 2015, vol. s2, issue Special issue 2, 104-109

Abstract: This paper illustrates the applicability of value at risk in the case of a stock portfolio, from the Romanian Financial Market. The possibility of market risk quantification in higher volatility conditions of the stock market is especially significant for the investment processes in emerging markets. Thus, this paper, investigated the performance of Value at Risk (VaR) methods with the daily returns series of five stocks that are in the portfolio from the Romanian stock market. The originality of this paper is to demonstrate the applicability of the methodology value at risk for a stock market from the perspective of emerging country. The main goal of the research is to test the performance of the historical, variance covariance and Monte Carlo methods VaR with 95% and 99% confidence level estimates as functions of determining the maximum possible loss from investment activities on Romanian capital market.

Keywords: Value at Risk; stock portfolio; Monte Carlo method; historical method; variance-covariance method (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:aic:jopafl:y:2015:v:s2:p:104-109

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