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Title:VREDNOTENJE BODOČIH TVEGANJ
Authors:Mastinšek, Andrej (Author)
Jagrič, Timotej (Mentor) More about this mentor... New window
Files:.pdf UNI_Mastinsek_Andrej_2010.pdf (593,25 KB)
 
Language:Slovenian
Work type:Final seminar paper (mb14)
Organization:EPF - Faculty of Business and Economics
Abstract:Globalna finančna kriza je bankam, podjetjem, borznim posrednikom in vlagateljem dala vedeti, da morejo biti bolj pazljivi pri investiranju, če si želijo zagotoviti svoj obstoj. Zavedati se morajo tveganja, ki ga s seboj prinaša vsak finančni posel, saj skoraj ni finančnega dogodka, ki bi ga lahko napovedali s popolno gotovostjo. Seveda se vsi zavedamo, da bolj kot je neka investicija tvegana, večji je lahko končni zaslužek oziroma dobiček. Vendar so posledice nespametnega investiranja lahko zelo dramatične ne le za finančni sektor ampak za celotno gospodarstvo nekega okolja, regije, države ali sveta. Baselski kriteriji regulacije kapitalske ustreznosti bank so se izkazali za neučinkovite, številni modeli tveganj v večini primerov niso delovali oziroma nekateri izmed njih so delovali celo katastrofalno. V realnem finančnem svetu najdemo mnoge modele, ki so finančnim institucijam dajali lažen občutek varnosti, saj so bili prepričani, da uporabljajo visoko razvite modele za odkrivanje, vrednotenje in preprečevanje tveganj. Model Value at Risk, ki so ga razvili v devetdesetih letih v ameriški banki J.P. Morgan, je eden izmed bolj zanesljivih modelov vrednotenja potencialnih tveganj. Na osnovi modela se danes razvijajo nove metode merjenja tveganj. VaR je postala standardna mera, s katero finančni analitiki kvantificirajo tržna tveganja. VaR je definiran kot maksimalna potencialna izguba portfelja finančnih instrumentov pri dani stopnji zanesljivosti. VaR se uporablja na različne načine, na primer kot mera za obvladovanje tveganj, kot podlaga za oceno uspešnosti tveganih naložb ter kot orodje za regulatorje trga. Zaradi tega je zelo pomembno, da je metode za izračun VaR dajejo natančne ocene.
Keywords:tveganje, obvladovanje tveganj, vrednotenje tveganj, normalna porazdelitev, volatilnost/nestanovitnost, korelacija, Value at risk model, historična metoda, korelacijska metoda, Monte Carlo simulacijska metoda
Year of publishing:2010
Publisher:[A. Mastinšek]
Source:Maribor
UDC:005.5
COBISS_ID:10540572 Link is opened in a new window
NUK URN:URN:SI:UM:DK:XBKOJKWS
Views:1901
Downloads:223
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Categories:EPF
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Secondary language

Language:English
Title:VALUE AT RISK
Abstract:Recent global financial crisis gave a clear warning to banks, investors and other participants on financial markets to be more cautious with their investments. They must be aware of risks and of the fact that allmost all investments are not certain events. It is known that higher is the risk, higher can be the profit of the investment. However unreasonable investments may lead to dramatic results not only for the financial sector but also for the whole economy of a particular region, state or even the world. The Basel accord regulation showed itself to be inefficint to predict the catastrophic scenarios on financial markets. Many models used in real financial world turned out to give false results on safety of investments. The VaR model, which was initially developed by J.P. Morgan Bank is one of the more reliable models for estimation of potential losses. On their basis new methods for estimation of risks are nowadays developed. Value at Risk has become the standard measure that financial analysts use to quantify market risk. VaR is defined as the maximum potencial loss in value a portfolio of financial instruments with a given confidence level. VaR measure can have many applications, for instance in risk management, in evaluation of the performance of risk takers and for regulatory requirements. Hence it is very important to develop methodologies that provide accurate estimates.
Keywords:risk, risk management, evaluation of risk, normal distribution, volatility, correlation, Value at Risk, hystorical method, correlation method, Monte Carlo simulation


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