Оценяване на портфейлния пазарен риск чрез метода „стойност под риск“ (VaR) – историческа симулация


Сергей Радуканов

Резюме:

One of the main VaR methods on theoretical aspect – Historical Simulation to Portfolio is explained in this article. Portfolio market risk measurement is carried out towards the shares of the particular companies – The Procter & Gamble Company (PG), Toyota Motor Corporation (TM) and Nokia Corporation (NOK).

Ключови думи:

Market Risk; Value-at-Risk; Returns; Portfolio.

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