Quantitative risk assessment of hypothetic investment portfolio : the case of the Baltic States

Abstract

This study examines the performance of 5 Value-at-Risk (VaR) methods in the context of investment portfolio management. A comparative analysis reveals that testing methods give similar risk assessment values and the choice of proper time horizon and observation period plays a more important role than the choice of method.

Straipsnyje analizuojama penkių VaR metodų taikymo rezultatai investicinio portfelio valdymo kontekste. Lyginamoji analizė parodė, kad atlikti bandymai duoda panašias rizikos vertinimo vertes ir tinkamo laiko horizonto bei stebėjimo laikotarpio pasirinkimas vaidina svarbesnį vaidmenį nei taikomo metodo parinkimas.