Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets

Mentel Grzegorz
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Mentel Grzegorz: Department of Quantitative Methods, Faculty of Management, Rzeszow University of Technology, Powstańców Warszawy 8, 35-959 Rzeszów

Folia Oeconomica Stetinensia, 2010, vol. 9, issue 1, 34-51

Abstract: In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

Keywords: risk; capital market; risk; capital market (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:foeste:v:9:y:2010:i:1:p:34-51:n:7

DOI: 10.2478/v10031-010-0009-3

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