RiskMetrics™ methodology and effectiveness of Value at Risk for the Warsaw Stock Exchange traded shares

dc.contributor.advisor	Kobak, Piotr
dc.contributor.author	Krzysztoporski Marek
dc.date.accessioned	2014-01-01T21:29:22Z
dc.date.available	2014-01-01T21:29:22Z
dc.date.issued	2004
dc.description.abstract	The aim of the dissertation is to check whether Value at Risk can efficiently be used to measure the risk of the stocks traded on the Warsaw Stock Exchange. The author used a method called backtesting and thus checked how many times in the observed time interval VAR of the sample portfolio gives incorrect results. The dissertation consists of 3 chapters. Chapter 1 is the general introduction to Value at Risk, it gives the basic definitions and examples of VAR usage. It also presents three methods of VAR computations with the biggest attention drawn to RiskMetrics™ methodology. Chapter 2 provides details of the RiskMetrics™ and discusses its most important assumptions. Chapter 3 is the practical example of VAR applied to the sample portfolio of shares traded on Warsaw Stock Exchange. At this stage the efficiency of the method is measured.	pl
dc.identifier.uri	http://hdl.handle.net/11199/3014
dc.language.iso	en	pl
dc.rights	licencja niewyłączna	pl
dc.subject	Value at Risk	pl
dc.subject	RiskMetrics™	pl
dc.subject	Warsaw Stock Exchange	pl
dc.title	RiskMetrics™ methodology and effectiveness of Value at Risk for the Warsaw Stock Exchange traded shares	en
dc.type	masterThesis	pl

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