Posouzení dopadu zátěžových testů u vybraných akciových portfolií

Abstract

The thesis deals with stress tests and their impact on the optimized equity portfolio. The whole thesis including the introduction and conclusion, consists of five chapters, where the second chapter briefly describes the characteristics of investing in financial markets. The third chapter focuses on the methodological description of the portfolio building according to the so-called mean-variance model according to Markowitz and the so-called mean-CVaR model, which eliminates the problematic point of mean-variance models, such as the use of variance for risk representation. For this reason, this chapter presents the measures that replace the variance, namely the measures at risk VaR and CVaR and selected methods of their estimation. This chapter also focuses on the importance of stress testing, its nature and types of stress scenarios. Attention is paid to one way of generating a stress scenario, namely, scenarios burdening the correlation between stocks. Both mentioned models and stress tests are applied to real data in the last practical part and the results are subsequently analyzed.