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Croatian Operational Research Review, Vol. 2 No. 1, 2011.

Izvorni znanstveni članak

COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO

Šime Čorkalo   ORCID icon orcid.org/0000-0001-7773-0990 ; Faculty of Economics University of Split, Split, Croatia

Puni tekst: engleski, pdf (298 KB) str. 81-90 preuzimanja: 16.652* citiraj
APA 6th Edition
Čorkalo, Š. (2011). COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO. Croatian Operational Research Review, 2 (1), 81-90. Preuzeto s https://hrcak.srce.hr/96620
MLA 8th Edition
Čorkalo, Šime. "COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO." Croatian Operational Research Review, vol. 2, br. 1, 2011, str. 81-90. https://hrcak.srce.hr/96620. Citirano 20.02.2019.
Chicago 17th Edition
Čorkalo, Šime. "COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO." Croatian Operational Research Review 2, br. 1 (2011): 81-90. https://hrcak.srce.hr/96620
Harvard
Čorkalo, Š. (2011). 'COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO', Croatian Operational Research Review, 2(1), str. 81-90. Preuzeto s: https://hrcak.srce.hr/96620 (Datum pristupa: 20.02.2019.)
Vancouver
Čorkalo Š. COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO. Croatian Operational Research Review [Internet]. 2011 [pristupljeno 20.02.2019.];2(1):81-90. Dostupno na: https://hrcak.srce.hr/96620
IEEE
Š. Čorkalo, "COMPARISON OF VALUE AT RISK APPROACHES ON A STOCK PORTFOLIO", Croatian Operational Research Review, vol.2, br. 1, str. 81-90, 2011. [Online]. Dostupno na: https://hrcak.srce.hr/96620. [Citirano: 20.02.2019.]

Sažetak
Value at risk is risk management tool for measuring and controlling market risks. Through this paper reader will get to know what value at risk is, how it can be calculated, what are the main characteristics, advantages and disadvantages of value at risk. Author compares the main approaches of calculating VaR and implements Variance-Covariance, Historical and Bootstrapping approach on stock portfolio. Finally results of empirical part are compared and presented using histogram.

Ključne riječi
Value at risk (VaR); Variance-Covariance approach; historical simulation; bootstrapping; comparing approaches; stock portfolio; pros and cons of VaR

Hrčak ID: 96620

URI
https://hrcak.srce.hr/96620

Posjeta: 17.005 *