{"id":3103,"date":"2020-07-30T23:00:37","date_gmt":"2020-07-30T23:00:37","guid":{"rendered":"https:\/\/revista.isfin.ro\/?p=3103"},"modified":"2020-08-04T11:25:48","modified_gmt":"2020-08-04T11:25:48","slug":"evaluarea-riscului-unui-portofoliu-de-actiuni-utilizand-metoda-value-at-risk-capatina-adrian-nicolae","status":"publish","type":"post","link":"https:\/\/revista.isfin.ro\/en\/2020\/07\/30\/evaluarea-riscului-unui-portofoliu-de-actiuni-utilizand-metoda-value-at-risk-capatina-adrian-nicolae\/","title":{"rendered":"Risk assessment of a stock portfolio using value-at-risk - C\u0103p\u0103\u021b\u00een\u0103 Adrian-Nicolae"},"content":{"rendered":"<div data-elementor-type=\"wp-post\" data-elementor-id=\"3103\" class=\"elementor elementor-3103\" data-elementor-settings=\"[]\">\n\t\t\t\t\t\t<div class=\"elementor-inner\">\n\t\t\t\t\t\t\t<div class=\"elementor-section-wrap\">\n\t\t\t\t\t\t\t<section class=\"elementor-section elementor-top-section elementor-element elementor-element-4566071e elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"4566071e\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-no\">\n\t\t\t\t\t\t\t<div class=\"elementor-row\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-100 elementor-top-column elementor-element elementor-element-4a14872d\" data-id=\"4a14872d\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-column-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t<div class=\"elementor-widget-wrap\">\n\t\t\t\t\t\t<section class=\"elementor-section elementor-inner-section elementor-element elementor-element-6d79ae67 elementor-section-boxed elementor-section-height-default elementor-section-height-default\" data-id=\"6d79ae67\" data-element_type=\"section\">\n\t\t\t\t\t\t<div class=\"elementor-container elementor-column-gap-default\">\n\t\t\t\t\t\t\t<div class=\"elementor-row\">\n\t\t\t\t\t<div class=\"elementor-column elementor-col-50 elementor-inner-column elementor-element elementor-element-710b8673\" data-id=\"710b8673\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-column-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t<div class=\"elementor-widget-wrap\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-4be37d22 elementor-widget elementor-widget-text-editor\" data-id=\"4be37d22\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\">\n\t\t\t\t<p>\u00a0Author: C\u0103p\u0103\u021b\u00een\u0103 Adrian-Nicolae<br \/>\u00a0Vol. 2 \u2022 No. 3 \u2022 November 2017<\/p>\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<div class=\"elementor-column elementor-col-50 elementor-inner-column elementor-element elementor-element-2d3f9ce9\" data-id=\"2d3f9ce9\" data-element_type=\"column\">\n\t\t\t<div class=\"elementor-column-wrap elementor-element-populated\">\n\t\t\t\t\t\t\t<div class=\"elementor-widget-wrap\">\n\t\t\t\t\t\t<div class=\"elementor-element elementor-element-491ca656 elementor-position-right elementor-view-default elementor-vertical-align-top elementor-widget elementor-widget-icon-box\" data-id=\"491ca656\" data-element_type=\"widget\" data-widget_type=\"icon-box.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-icon-box-wrapper\">\n\t\t\t\t\t\t<div class=\"elementor-icon-box-icon\">\n\t\t\t\t<a class=\"elementor-icon elementor-animation-\" href=\"https:\/\/revista.isfin.ro\/wp-content\/uploads\/2020\/08\/Risk-assessment_Abstract-en-vol2-nr3.pdf\" target=\"_blank\">\n\t\t\t\t<i aria-hidden=\"true\" class=\"fas fa-arrow-down\"><\/i>\t\t\t\t<\/a>\n\t\t\t<\/div>\n\t\t\t\t\t\t<div class=\"elementor-icon-box-content\">\n\t\t\t\t<h6 class=\"elementor-icon-box-title\">\n\t\t\t\t\t<a href=\"https:\/\/revista.isfin.ro\/wp-content\/uploads\/2020\/08\/Risk-assessment_Abstract-en-vol2-nr3.pdf\" target=\"_blank\" >\n\t\t\t\t\t\tView Abstract PDF\t\t\t\t\t<\/a>\n\t\t\t\t<\/h6>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-4984d86b elementor-position-right elementor-view-default elementor-vertical-align-top elementor-widget elementor-widget-icon-box\" data-id=\"4984d86b\" data-element_type=\"widget\" data-widget_type=\"icon-box.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-icon-box-wrapper\">\n\t\t\t\t\t\t<div class=\"elementor-icon-box-icon\">\n\t\t\t\t<a class=\"elementor-icon elementor-animation-\" href=\"https:\/\/revista.isfin.ro\/wp-content\/uploads\/2020\/08\/Risk-assessment_ART-vol2-nr3.pdf\" target=\"_blank\">\n\t\t\t\t<i aria-hidden=\"true\" class=\"fas fa-arrow-down\"><\/i>\t\t\t\t<\/a>\n\t\t\t<\/div>\n\t\t\t\t\t\t<div class=\"elementor-icon-box-content\">\n\t\t\t\t<h6 class=\"elementor-icon-box-title\">\n\t\t\t\t\t<a href=\"https:\/\/revista.isfin.ro\/wp-content\/uploads\/2020\/08\/Risk-assessment_ART-vol2-nr3.pdf\" target=\"_blank\" >\n\t\t\t\t\t\tView Article PDF\t\t\t\t\t<\/a>\n\t\t\t\t<\/h6>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<div class=\"elementor-element elementor-element-44583910 elementor-widget-divider--view-line elementor-widget elementor-widget-divider\" data-id=\"44583910\" data-element_type=\"widget\" data-widget_type=\"divider.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-divider\">\n\t\t\t<span class=\"elementor-divider-separator\">\n\t\t\t\t\t\t<\/span>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-7d1c4360 elementor-widget elementor-widget-text-editor\" data-id=\"7d1c4360\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\">\n\t\t\t\t<p><strong>Abstract<\/strong><\/p>\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-32cd7b2b elementor-widget elementor-widget-text-editor\" data-id=\"32cd7b2b\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\">\n\t\t\t\t<p>This paper aims to evaluate the risk for of a stock portfolio using Value-at-Risk, being of\ninterest 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\nestimation model required in the VaR calculation using the backtesting method<\/p>\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-60bfc61f elementor-widget-divider--view-line elementor-widget elementor-widget-divider\" data-id=\"60bfc61f\" data-element_type=\"widget\" data-widget_type=\"divider.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-divider\">\n\t\t\t<span class=\"elementor-divider-separator\">\n\t\t\t\t\t\t<\/span>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-2cfe91c elementor-widget elementor-widget-text-editor\" data-id=\"2cfe91c\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\">\n\t\t\t\t<p><strong>Keywords<\/strong>:  Value at Risk, volatility, GARCH, Backtesting, portfolio, stock market<\/p>\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-89c454e elementor-widget-divider--view-line elementor-widget elementor-widget-divider\" data-id=\"89c454e\" data-element_type=\"widget\" data-widget_type=\"divider.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t<div class=\"elementor-divider\">\n\t\t\t<span class=\"elementor-divider-separator\">\n\t\t\t\t\t\t<\/span>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-1b98ce72 elementor-widget elementor-widget-text-editor\" data-id=\"1b98ce72\" data-element_type=\"widget\" data-widget_type=\"text-editor.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t\t\t\t\t\t<div class=\"elementor-text-editor elementor-clearfix\">\n\t\t\t\t<p><strong>JEL classification<\/strong>: G11, C52, C53<\/p>\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<div class=\"elementor-element elementor-element-281bb6be elementor-widget elementor-widget-eael-creative-button\" data-id=\"281bb6be\" data-element_type=\"widget\" data-widget_type=\"eael-creative-button.default\">\n\t\t\t\t<div class=\"elementor-widget-container\">\n\t\t\t        <div class=\"eael-creative-button-wrapper\">\n\n            <a class=\"eael-creative-button eael-creative-button--default\" href=\"https:\/\/revista.isfin.ro\/en\/arhiva\/\" data-text=\"\">\n\n                <div class=\"creative-button-inner\">\n\n                    \n                    <span class=\"cretive-button-text\"> BACK <\/span>\n\n                                    <\/div>\n            <\/a>\n        <\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>","protected":false},"excerpt":{"rendered":"<p>\u00a0Autor: C\u0103p\u0103\u021b\u00een\u0103 Adrian-Nicolae\u00a0Vol. 2 \u2022 Nr. 3 \u2022 Noiembrie 2017 Vizualizare Abstract PDF Vizualizare Articol PDF Abstract Prezenta lucrare are ca scop evaluarea riscului pentru un portofoliu de ac\u021biuni folosind metoda Value-at-Risk, fiind de interes at\u00e2t pentru institu\u021biile financiare, c\u00e2t \u0219i pentru posibili investitori individuali. Folosind randamentele zilnice ale portofoliului pe o perioad\u0103 de 2 &hellip;<\/p>\n<p class=\"read-more\"> <a class=\"\" href=\"https:\/\/revista.isfin.ro\/en\/2020\/07\/30\/evaluarea-riscului-unui-portofoliu-de-actiuni-utilizand-metoda-value-at-risk-capatina-adrian-nicolae\/\"> <span class=\"screen-reader-text\">Risk assessment of a stock portfolio using value-at-risk - C\u0103p\u0103\u021b\u00een\u0103 Adrian-Nicolae<\/span> Read More &raquo;<\/a><\/p>","protected":false},"author":1,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[169],"tags":[],"yoast_head":"<title>Evaluarea riscului unui portofoliu de ac\u021biuni utiliz\u00e2nd metoda Value at Risk - C\u0103p\u0103\u021b\u00een\u0103 Adrian-Nicolae - Revista de Studii Financiare<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/revista.isfin.ro\/en\/2020\/07\/30\/evaluarea-riscului-unui-portofoliu-de-actiuni-utilizand-metoda-value-at-risk-capatina-adrian-nicolae\/\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Evaluarea riscului unui portofoliu de ac\u021biuni utiliz\u00e2nd metoda Value at Risk - C\u0103p\u0103\u021b\u00een\u0103 Adrian-Nicolae - Revista de Studii Financiare\" \/>\n<meta property=\"og:description\" content=\"\u00a0Autor: C\u0103p\u0103\u021b\u00een\u0103 Adrian-Nicolae\u00a0Vol. 2 \u2022 Nr. 3 \u2022 Noiembrie 2017 Vizualizare Abstract PDF Vizualizare Articol PDF Abstract Prezenta lucrare are ca scop evaluarea riscului pentru un portofoliu de ac\u021biuni folosind metoda Value-at-Risk, fiind de interes at\u00e2t pentru institu\u021biile financiare, c\u00e2t \u0219i pentru posibili investitori individuali. 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