Stanovení míry rizika portfolia akcií s eliptickým rozdělením pravděpodobnosti

Abstract

The diploma thesis deals with determination of the indicator of Value at Risk of stock portfolio. The aim of this thesis was to check and determine risk rate of stock portfolio with an elliptical distribution. Value at Risk methodology was used. The paper work consists of three consecutive chapters. The first part is focused on definition of the types of financial markets and financial market participans, it is also focused on types of financial risks and New York Stock Exchange. Second part includes elliptical distribution, the possibility of testing the probability distribution, variance prediction and general description of Value at Risk. There is described main information and basic methods of calculating. Component part is attack on the method VaR. In the last part the described proces is applied. A portfolio is composed of shares traded on the New York Stock Exchange and probability distribution is determined. Standard and robust EWMA model is used to calculate future variance. Amount of Value at Risk at significance level of 0.05 and a one-day horizon is computed by using the analytical VaR method with assumption Laplace distribution and normal distribution of returns. In the end modifications are made to the calculation and there is a short evaluation based on facts.