Defining and Measuring Bank’s Equity Risk: Evidence from the Erste Bank Group Romania

Ioana Ple?cãu ()
Additional contact information
Ioana Ple?cãu: Alexandru Ioan Cuza University of Ia?i

Ovidius University Annals, Economic Sciences Series, 2015, vol. XV, issue 2, 534-538

Abstract: In this paper we have computed and analyzed the VaR of Erste Bank Romania, in comparison with the VaRs of three important peers of this bank. We have used 500 daily stock returns in order to calculate values at risk with the historical simulations approach at a confidence level of 99%. Also, we have tested the hypothesis regarding the existence of a relationship between the VaR of the market index BET and the VaRs of each bank. Our findings could not reject this hypothesis.

Keywords: value at risk; market risk; historical simulations (search for similar items in EconPapers)
JEL-codes: C63 G21 G32 (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://stec.univ-ovidius.ro/html/anale/RO/2015/i2/ ... ssue_2_2015_site.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xv:y:2015:i:2:p:534-538

Access Statistics for this article

Ovidius University Annals, Economic Sciences Series is currently edited by Spatariu Cerasela

More articles in Ovidius University Annals, Economic Sciences Series from Ovidius University of Constantza, Faculty of Economic Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Gheorghiu Gabriela ().