QIMMATLI QOG‘OZLAR BOZORIDA MOLIYAVIY RISKNI BAHOLASH USULI
Ключевые слова:
moliyaviy risk, qimmatli qog‘oz, Value at Risk, standart chetlanish, kvantil, daromadlilik.Аннотация
Ushbu maqolada qimmatli qog‘ozlar bozorida moliyaviy riskni baholash masalasi parametrik Value at Risk (VaR) usuli asosida tahlil qilingan. Tahlil jarayonida o‘rtacha daromadlilik, standart chetlanish, kvantil, bir kunlik va besh kunlik risk ko‘rsatkichlari hisoblab chiqildi. Olingan natijalar qimmatli qog‘oz narxining qisqa muddatda maksimal ehtimoliy yo‘qotishini aniqlash imkonini beradi hamda moliyaviy risklarni boshqarishda amaliy ahamiyat kasb etadi.
Библиографические ссылки
Alexander, Carol. 2008. Market Risk Analysis: Practical Financial Econometrics. Chichester: John Wiley & Sons.
Basel Committee on Banking Supervision. 2019. Minimum Capital Requirements for Market Risk. Basel: Bank for International Settlements.
Damodaran, Aswath. 2012. Investment Valuation: Tools and Techniques for Determining the Value of Any Asset. 3rd ed. New York: John Wiley & Sons.
Dowd, Kevin. 2005. Measuring Market Risk. 2nd ed. Chichester: John Wiley & Sons.
Hull, John C. 2018. Risk Management and Financial Institutions. 5th ed. Hoboken, NJ: John Wiley & Sons.
J.P. Morgan. 1996. RiskMetrics – Technical Document. New York: J.P. Morgan & Co.
Manganelli, Simone, and Robert F. Engle. 2001. “Value at Risk Models in Finance.” European Central Bank Working Paper No. 75.
Markowitz, Harry. 1952. “Portfolio Selection.” The Journal of Finance 7 (1): 77–91. https://doi.org/10.2307/2975974.
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