Portfolio Market Risk Assessment Using Value-at-Risk (VaR) Method – Historical Stimulation
Authors:
Sergei
Radukanov
St. Cyril and St. Methodius University of Veliko Tarnovo, Bulgaria
Pages:
81-
91
DOI: https://doi.org/10.54664/DEIK5245
Abstract:
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).
Keywords:
Market Risk; Value-at-Risk; Returns; Portfolio.
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