Stanovení Value at Risk komplexního portfolia finančních aktiv

Abstract

The submitted thesis deals with determination of the indicator of value at risk. The aim of this thesis was to determine the Value at Risk for a complex portfolio of financial assets. RiskMetrics methodology was used, its procedures and assumptions. The first part presents general approaches to risk measurement. Statistical indicators of the risk of options, interest rate risk especially for bonds, common factor models, importance of stress testing or Basel regulations are described. The second part includes description of VaR establishment using general approaches and then according to RiskMetrics. In the last part the described process is applied. A portfolio composed of two types of shares, bond and exchange rate is established. RiskMetrics procedure is used for the determination of future cash flow, future variance and covariance of assets are planned using EWMA model and future stock price is found using the geometric Brownian motion with Monte Carlo simulation. After adjustments of the input values, the VaR at significance level of 0.05 and a one-day horizon is computed by using the standard deviations and correlations. In conclusion, modifications are made to the calculation and recommendations for change in the structure of the portfolio are established.