| Abstract [eng] |
With rapidly changing conditions for operation of financial institutions, increasing fluctuation of financial markets and their scope, emerging new financial instruments, and new types of risks of financial institutions, the need for trade portfolio risk management emerged. Risk management of the trade portfolio is becoming more relevant for investment fund managers. Because all investors seek to get the maximum profit with the lowest risk. The aim of this work is to evaluate risk of the portfolio made up of the four Baltic stock indices. This paper analyses the risk of an investment in the stock indices, the decision support using mathematical methods and software. There is a literature analysis that contains the main methods of investment risk valuation problems, investigated strengths and weaknesses of each method. Methods were implemented in MS Excel program using its functions. The methods utilizes a historical data set containing dates and four stock indices values. Initially for the chosen four Baltic stock indices the variation - covariance method was applied. Next the Var was calculated by the historical simulation method. Finally, the Monte Karlo method was applied. The results of all methods were compared and checked with the back testing method. |
