Market Risk Assessment Under VaR Risk Methodology – Specifications and Application
Authors:
Sergei
Radukanov
St. Cyril and St. Methodius University of Veliko Tarnovo, Bulgaria
Pages:
182-
194
Abstract:
The article explains the main VaR methods in theory - relativistic, historical simulation and Monte Carlo simulation. There are highlighted their advantages, disadvantages and scope of application. Also are outlined the baseline stages of calculation with MS EXSEL. The market risk is measured against the shares of Pepsico, Inc.
Keywords:
market risk, value at risk, return, single asset
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