Journal Socio-Economic Analyses
“ST. CYRIL AND ST. METHODIUS” UNIVERSITY OF VELIKO TARNOVO - UNIVERSITY PRESS

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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