USING THE VALUE AT RISK METHOD IN ESTIMATION OF INVESTMENT RISK IN THE METALLURGICAL SECTOR COMPANIES (Wykorzystanie metody Value at Risk w estymacji ryzyka inwestycyjnego w spólki branzy

• Authors: Milos Ewa
• Languages of publication: PL

Abstracts

EN

The aim of this paper is to analyze the merits of using the Value At Risk method in estimating the risk associated with investments in metallurgical sector companies. The paper presents how to construct the model, various methods of its estimation and their advantages and disadvantages. In the research part of the paper, we analyze typical features of the returns distribution characteristic for metallurgical companies listed on the Polish stock exchange, and on their basis we select the method of the Value at Risk estimation. The analysis was made by comparing individual metallurgical companies to the Warsaw Stock Exchange Index (WIG). We also evaluated the usefulness of the variance-covariance method by examining the number of exceedances of the designated value exposed at the assumed levels of significance.

Keywords

EN

INVESTMENT; METALLURGICAL SECTOR; RISK

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
• Journal: Finansowy Kwartalnik Internetowy e-Finanse
• Year: 2011
• Volume: 7
• Issue: 1
• Pages: 39-51
• Document type: ARTICLE

Contributors

author

Milos Ewa

• Mgr Ewa Milos, doktorantka Uniwersytetu Ekonomicznego w Krakowie, ul. Rakowicka 27,31-510 Kraków, Poland

Identifiers

CEJSH db identifier

11PLAAAA09319