Aplikace metodologie Value at Risk na akciové portfolio

Abstract

The goal of this paper work is to quantify the value of the Value at Risk of an equity portfolio with a time horizon of one day. For this will be use the Monte Carlo simulation assuming a normal probability distribution of returns of financial assets. For the simulation of random variables is used 12,000 scenarios. It is also used Cholesky algorithm. Covariance matrix is quantified by using the EWMA model. The paper work consists of three consecutive chapters. The first chapter is focused on investmenst on financial markets. It is also focused on definition of the types of financial markets and financial intermediaries. Further it is characterized investments from the point of view of investors, the type of investments and the factors that affect investment decisions. Next chapter is focused on a description of Value at Risk methodology and on a characteristics of the chosen types of probability distributions and the possibility of testing the probability distribution. At the practical part will be apply Value at Risk methodology on stock portfolio for help Monte Carlo simulation. At the end of the chapter, there is a short evaluation based on a facts.