Kvantifikace rizika portfolia ING Visegrádského akciového fondu pomocí metody Value at Risk

Abstract

The main issue of this diploma work is Value at risk and the goal of this work is identify amount of VaR, as a exposure related with a investment in ING Visegrad equity fund. This work includes the main characteristics of the investment in investment fund, including single investment funds, possible investment strategy, theory of investment triangle and specific ING Visegrad equity fund. Next meaningful part of this work creates a general description of Value at Risk, there is described short synopsis of history and articles of formation this method and the classic methods for VaR estimation. Component part is attack on the method VaR. Last but not least is a great deal of attention devoted practical application of method Value at Risk on factual data. Quantification is the risk an part of portfolio Visegrad equity fund. This part of portfolio is makes of ten most distinguished stock of fund, which abets finance group ING. Amount of a risk is detection with analytical delta VaR method with assumption normally distribution of a return, which is component of parametric method.