Using Patterns of Volatility in Calculating VaR
Journal Title: Revista Romana de Statistica - Year 2013, Vol 61, Issue 3
Abstract
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.
Authors and Affiliations
Radu Titus MARINESCU, Mădălina Gabriela ANGHEL, Daniel DUMITRESCU, Adina Mihaela DINU
Keywords
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