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Reference:
Murzaev, S.V.
The problem of method in assessing
the risks of financial assets portfolio
// Trends and management.
2013. № 1.
P. 72-77.
URL: https://en.nbpublish.com/library_read_article.php?id=62589
Murzaev, S.V. The problem of method in assessing
the risks of financial assets portfolio
Abstract:
The article focuses on the choice of method adequate
to quantify the level of risk of financial
assets portfolio. The author analyzes the basic
methods of calculating Value at Risk and provides characteristics of the measures of risks
under study and classification of methods to
assess them. The author consistently studies
the methods of «full assessment» (the method
of historical simulation and Monte-Carlo
method) and «local evaluation» (parametric
technique) and presents basic principles of
implementation of the methods, formulas for
calculating Value at Risk, requirements to initial
values, predictive capabilities and accuracy
characteristics of the methods. The study
draws conclusions on the possible use of various
implementations of methods for calculating
Value at Risk for the purpose of analyzing
various portfolios of financial assets and
various types of financial risks (market risk,
credit risk). The author mentions the necessity
of further development of the method of
local evaluation not sensitive to the nature of
distribution of the stochastic variable.
Keywords:
Value at Risk, historical, parametric, Monte Carlo method, approximation function, pseudo-random number generator, method of visual simulation.
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References
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7. Urazaeva, T. A. Metodologiya modelirovaniya riska portfeley srochnykh finansovykh instrumentov / T. A. Urazaeva; rets. O. A. Mironovoy // Audit i finansovyy analiz. – 2010. – № 5. – c. 456-465
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