Riskmetrics^™Methodology in Assessment of Investment Risk on Capital Markets

• Authors: Grzegorz Mentel
• Languages of publication: EN

Abstracts

EN

In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

Keywords

EN

risk; capital market

• Publisher: Sciendo
• Journal: Folia Oeconomica Stetinensia
• Year: 2010
• Volume: 9
• Issue: 1
• Pages: 34-51

Dates

published

2010-01-01

online

2011-12-21

Contributors

author

Grzegorz Mentel

• Department of Quantitative Methods, Faculty of Management, Rzeszow University of Technology, Powstańców Warszawy 8, 35-959 Rzeszów

References

• Jajuga, K. (1993). Zarządzanie kapitałem, Wrocław: Wydawnictwo AE we Wrocławiu.
• Jajuga, K., Jajuga, T. (1993). Jak inwestować w papiery wartościowe, Warszawa: PWN.
• Jajuga, K., Jajuga, T. (2000). Inwestycje. Instrumenty finansowe. Ryzyko finansowe. Inżynieria finansowa, Warszawa: PWN.
• Kim J., Mina, J. (2001). RiskGrades Technical Document, RiskMetrics (
• Tarczyński, W. (1997). Rynki kapitałowe, Warszawa: Agencja Wydawnicza Placet.
• Tarczyński, W., Zwolankowski, M. (1999). Inżynieria finansowa. Instrumentarium. Strategie. Zarządzanie ryzykiem, Warszawa: Agencja Wydawnicza Placet.
• Weron, A., Weron, R. (1999). Inżynieria finansowa, Warszawa: WNT.

Identifiers

DOI

10.2478/v10031-010-0009-3