Risk assessment of a stock portfolio using value-at-risk - Căpățînă Adrian-Nicolae

 Author: Căpățînă Adrian-Nicolae
 Vol. 2 • No. 3 • November 2017


This paper aims to evaluate the risk for of a stock portfolio using Value-at-Risk, being of interest to both financial institutions and potential individual investors. Using the portfolio's daily returns over a two-year period, the volatility will be estimated with various specifications of GARCH (GARCH, IGARCH, EGARCH, TGARCH), and normal, tstudent and GED errors distributions. Then we will identify the optimal volatility estimation model required in the VaR calculation using the backtesting method

Keywords: Value at Risk, volatility, GARCH, Backtesting, portfolio, stock market

JEL Classification:: G11, C52, C53