Using Patterns of Volatility in Calculating VaR

Based on the above, it can be concluded that the use of Value at Risk method allows a more efficient allocation of financial resources available, thus eliminating the overexposure to a single risk source. Also, the VaR model allows capital investors to properly assess their activity and position in the capital market, depending on the level of risk they are willing to and take.

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Year of publication:	2013
Authors:	MARINESCU, Radu Titus ; ANGHEL, Madalina Gabriela ; DUMITRESCU, Daniel ; DINU, Adina Mihaela
Published in:	Romanian Statistical Review Supplement. - Institutul National de Statistica şi Studii Economice (INSSE). - Vol. 61.2013, 3, p. 143-150
Publisher:	Institutul National de Statistica şi Studii Economice (INSSE)
Subject:	value at risk \| EWMA model \| GARCG model \| capital market

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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