DELTA-NORMAL METHOD OF RISK MEASURE CALCULATION AS A FACTOR OF INVESTMENTS ASSESSMENT
Journal: Science Journal "NovaInfo" (Vol.4, No. 46)Publication Date: 2016-06-01
Authors : Zernova Valeriya Anatolevna;
Page : 245-251
Keywords : RISK MEASURE; MARKET RISK; DELTA - NORMAL RISK ASSESSMENT METHOD; THE STOCK; INVESTMENT;
Abstract
The article is devoted to the review of the risk measure (Value at Risk) calculation relative to the investment process, specifically the calculation of market risk amount that investor could lose by investing in different financial assets. The paper reveals the essence of VaR model, the main approaches to its implementation. The calculation of the risk measures of actual company, whose shares are traded on the stock exchange. In the calculation process, the model is adapted to the peculiarities of the market risk. The proposed model of risk assessment, as well as its adaptation to the specific market conditions can be used to analyze a number of other types of financial assets of various companies.
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Last modified: 2016-08-21 20:20:57