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Using Patterns of Volatility in Calculating VaR

Author

Listed:
  • Radu Titus MARINESCU

    („Artifex” University of Bucharest)

  • Madalina Gabriela ANGHEL

    („Artifex” University of Bucharest)

  • Daniel DUMITRESCU

    (Academy of Economic Studies Bucharest)

  • Adina Mihaela DINU

    (Academy of Economic Studies Bucharest)

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.

Suggested Citation

  • Radu Titus MARINESCU & Madalina Gabriela ANGHEL & Daniel DUMITRESCU & Adina Mihaela DINU, 2013. "Using Patterns of Volatility in Calculating VaR," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 61(3), pages 143-150, September.
    • Handle: RePEc:rsr:supplm:v:61:y:2013:i:3:p:143-150
    as

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