Using the Value at Risk Model in the Portfolio Management

Madalina Gabriela Anghel
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Madalina Gabriela Anghel: “Artifex” University of Bucharest

Romanian Statistical Review Supplement, 2014, vol. 62, issue 10, 63-70

Abstract: In the frame of this article I have submitted the main elements describing the way to set up the VAR indicator – by means of various methods of calculation as well as a series of practical aspects concerning the estimation of the volatility for a financial asset through this type of econometric model, with direct applications on the capital market from our country. Using the Value at Risk model allows a more efficient allocation of the available financial resources, eliminating thus an over-exposure in connection with a single source of risk and allowing the investors of capital to adequately evaluate their activity and position on the capital market, depending on the risk level which they are willing to undertake. In the frame of this study, I have applied this method directly on a portfolio formed by ten equities in order to estimate the VaR level through stimulating various variants of portfolios, taking into account the various weights of the financial assets participation.

Keywords: confidence level; simulation; the variance – covariance; Value at Risk; volatility (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:rsr:supplm:v:62:y:2014:i:10:p:63-70

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