METHODS, THEORIES AND MODELS TO MEASURE MARKET RISK OF THE PORTFOLIO OF SHARES

Constantin Anghelache, Vergil Voineagu, Danut Culetu and Andreea Gabriela Baltac
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Constantin Anghelache: „Artifex” University of Bucharest/Academy of Economic Studies, Bucharest
Vergil Voineagu: Academy of Economic Studies, Bucharest
Danut Culetu: Academy of Economic Studies, Bucharest
Andreea Gabriela Baltac: „Artifex” University of Bucharest/Academy of Economic Studies, Bucharest

Romanian Statistical Review, 2013, vol. 61, issue 8, 18-30

Abstract: In terms of a portfolio of shares, market risk is caused by the price change measures under discussion and that is why it is important to consider carefully the historical evolution of prices in order to be able to determine if there is a certain cyclical trend that may affect the portfolio in the future.

Keywords: market risk; sensitivity; profitability; Value at Risk; derivative transactions (search for similar items in EconPapers)
Date: 2013
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