期刊名称：Journal of Public Administration, Finance and Law
印刷版ISSN：2285-2204
电子版ISSN：2285-3499
出版年度：2015
卷号：8
期号：2
页码：104-110
语种：English
出版社：Technopress
摘要：This paper illustrates the applicability of value at risk in the case of a stock portfolio,from the Romanian Financial Market.The possibility of market risk quantification in higher volatility conditions of the stock market is especially significant for the investment processes in emerging markets.Thus,this paper,investigated the performance of Value at Risk (VaR) methods with the daily returns series of five stocks that are in the portfolio from the Romanian stock market.The originality of this paper is to demonstrate the applicability of the methodology value at risk for a stock market from the perspective of emerging country.The main goal of the research is to test the performance of the historical,variancecovariance and Monte Carlo methods VaR with 95% and 99% confidence level estimates as functions of determining the maximum possible loss from investment activities on Romanian capital market.
关键词：Value at Risk;stock portfolio;Monte Carlo method;historical method;variance-covariance method.
