Aplikace metody VaR na akciové portfolio

Abstract

Among the major drawbacks of the analytical calculation The Value at Risk is a condition of a normal distribution of the probability of yields. In this work, Value at Risk is calculated using Monte Carlo's simulation and analytical methods, and the value of the Conditional Value at Risk is also calculated in this work. In this paper, the issues of stocks and stock indices are described first, and VaR methods are described. In the final chapter, VaR motodynamics is applied to a real stock portfolio. At the end of the thesis the results are calculated using Monte Carlo simulation an analytical methods.