Ðóñ Eng During last 365 days Approved articles: 2065,   Articles in work: 293 Declined articles: 786 

Murzaev, S.V. The problem of method in assessing the risks of financial assets portfolio

Published in journal "Trends and management", 2013-1 in rubric "Strategic management", pages 72-77.

Resume: The article focuses on the choice of method adequate to quantify the level of risk of financial assets portfolio. The author analyzes the basic methods of calculating Value at Risk and provides characteristics of the measures of risks under study and classification of methods to assess them. The author consistently studies the methods of «full assessment» (the method of historical simulation and Monte-Carlo method) and «local evaluation» (parametric technique) and presents basic principles of implementation of the methods, formulas for calculating Value at Risk, requirements to initial values, predictive capabilities and accuracy characteristics of the methods. The study draws conclusions on the possible use of various implementations of methods for calculating Value at Risk for the purpose of analyzing various portfolios of financial assets and various types of financial risks (market risk, credit risk). The author mentions the necessity of further development of the method of local evaluation not sensitive to the nature of distribution of the stochastic variable.

Keywords: Value at Risk, historical, parametric, Monte Carlo method, approximation function, pseudo-random number generator, method of visual simulation.

This article can be downloaded freely in PDF format for reading. Download article

1. Entsiklopediya finansovogo risk-menedzhmenta / pod red. A.A. Lobanova, A.V. Chugunova. – M.: Al'pina Pablisher, 2003. – 786 s.
2. Berry, R. An Overview of Value-at-Risk:Part II - Historical Simulations VaR / R. Berry. – 2008. – Rezhim dostupa: http://www.jpmorgan.com/tss/General/Risk_Management/1159369485859 – 01.12.2012.
3. Berry, R. An Overview of Value-at-Risk: Part III – Monte Carlo Simulations VaR / R. Berry. – 2008. – Rezhim dostupa: http://www.jpmorgan.com/tss/General/Risk_Management/1159380637650 – 01.12.2012.
4. Senatov, V. V. Tsentral'naya predel'naya teorema. Tochnost' approksimatsii i asimptoticheskie razlozheniya: monogr. / V. V. Senatov; Librokom. – M., 2009. – 352 s.
5. Sharp, U. F. Investitsii: ucheb. / U. F. Sharp, G. D. Aleksander, D. V. Beyli. – M.: INFRA-M, 2012. – 1028 s.
6. Lobanov, A. Problema metoda pri raschete value at risk / A. Lobanov // Rynok tsennykh bumag. – 2000. – ¹21. – s. 54–58.
7. Urazaeva, T. A. Metodologiya modelirovaniya riska portfeley srochnykh finansovykh instrumentov / T. A. Urazaeva; rets. O. A. Mironovoy // Audit i finansovyy analiz. – 2010. – ¹ 5. – c. 456-465.

Correct link to this article:
just copy this link to clipboard