Financial Risk Management - Comparison of Value at Risk Methods on Stock Portfolios

Autor práce: Yigiter, Yasin Cagri
Typ práce: Diplomová práce
Vedoucí práce: Žamberský, Pavel
Osoba oponující práci: Taušer, Josef

Informace o vysokoškolské kvalifikační práci

Název práce: Financial Risk Management - Comparison of Value at Risk Methods on Stock Portfolios
Typ práce: Master thesis
Jazyk práce: English
Abstrakt: Recent developments in the financial sector and with the effects of globalization, restrictions on portfolio investments are in lowest in its history. These improvements help to facilitate fund transfer between countries, which causes high diversity and degree of risk. Also, this situation remarked itself in unexpected bankruptcies of major international financial institutions such as Barings Bank. As a result, international investors and academics forced to discover easy and efficient risk measurement techniques. Value at Risk method has emerged as a result of these requirements. Value at Risk is the maximum loss that value of an asset can experience with a given confidence level over a specific time frame. The purpose of this study compares the calculations of Value at Risk Methods, namely Variance- Covariance Method, Historical Simulation Method, and Monte Carlo Simulation Method. Firstly, ten stocks are chosen randomly from Istanbul Stock Exchange for the analysis. Descriptive statistics of these shares are calculated, to achieve final results. Secondly, normality tests are made to determine the distribution of return series. In the next step, optimal portfolio obtained according to Markowitz model. Finally, Value at Risk values of the optimal portfolio calculated with three different methods.
Klíčová slova: Financial Risk Management; Types of Risks; Value at Risk

Informace o studiu

Studijní program a Studijní obor: Mezinárodní ekonomické vztahy/International Business - Central European Business Realities
Typ studijního programu: Magisterský navazující studijní program
Jméno přidělované hodnosti: Ing.
Instituce přidělující hodnost: University of Economics, Prague
Název fakulty: Faculty of International Relations
Název katedry: Department of World Economy
Instituce archivující a zpřístupňující VŠKP: University of Economics, Prague

Informace o odevzdání a obhajobě

Datum zadání práce: 13. 5. 2016
Datum podání práce: 28. 4. 2017
Datum obhajoby: 29.05.2017

Soubory ke stažení

Hlavní práce57688_yigy00.pdf [1,56 MB]
Veřejná příloha15239_yigy00.pdf [375,24 kB]
Oponentura52269_tauser.pdf [64,83 kB]
Hodnocení vedoucího57688_zamberp.pdf [63,34 kB]

Údaje ze systému InSIS

Identifikátor https://insis.vse.cz/zp/57688/podrobnosti