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master's thesis
Metode procjene VaR-a
2021. urn:nbn:hr:126:040157
Tokić, Vedrana
Josip Juraj Strossmayer University of Osijek
Department of Mathematics

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Tokić, V. (2021). Metode procjene VaR-a (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics. Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:040157

Tokić, Vedrana. "Metode procjene VaR-a." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2021. https://urn.nsk.hr/urn:nbn:hr:126:040157

Tokić, Vedrana. "Metode procjene VaR-a." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2021. https://urn.nsk.hr/urn:nbn:hr:126:040157

Tokić, V. (2021). 'Metode procjene VaR-a', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 19 November 2024, https://urn.nsk.hr/urn:nbn:hr:126:040157

Tokić V. Metode procjene VaR-a [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2021 [cited 2024 November 19] Available at: https://urn.nsk.hr/urn:nbn:hr:126:040157

V. Tokić, "Metode procjene VaR-a", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2021. Available at: https://urn.nsk.hr/urn:nbn:hr:126:040157

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Metadata
TitleMetode procjene VaR-a
Title (english)Methods for Estimating VaR
AuthorVedrana Tokić
MentorNenad Šuvak (mentor)
Committee memberDanijel Grahovac (predsjednik povjerenstva)
Committee memberNenad Šuvak (član povjerenstva)
Committee memberIvan Papić (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
Osijek
Defense date and country2021-10-26, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Financial and Business Mathematics
Abstract
Cilj rada je upoznati se s osnovnim metodama procjene Value at Risk-a. VaR je mjera rizika koja je na financijskom tržištu stekla široku primjenu i predstavlja minimalni gubitak tijekom određenog vremena uz određenu vjerojatnost p. Postoje 3 metode procjene: neparametarska, parametarska i semiparametarska. Neparametarska procjena bazira se na povijesnim vrijednostima log-povrata gdje VaR procjenjujemo kao p-ti kvantil tih vrijednosti, dok se parametarska procjena provodi uz izgradnju EWMA i GARCH modela. Semiparametarsku procjenu gradimo uz pomoć teorije ekstremnih vrijednosti i procjene repnog indeksa. Svaka od metoda demonstrirana je na primjeru cijena dionica domaće firme.
Abstract (english)
The goal of this paper is to learn about basic methods for estimating Value at Risk. VaR is a highly applicable financial risk measure and represents minimum loss over a period of time with probability p. There are 3 estimation methods: nonparametric, parametric and semiparametric. Nonparametric estimation is based on historical values of log-returns, while the parametric estimation is based on building EWMA and GARCH models. The semiparametric estimation is built upon the extreme value theory and estimating the tail index. Each method is demonstrated on the stock prices of a local firm.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:040157
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2021-10-28 09:23:56