ESTIMATING THE RETURN OF THE FINANCIAL TITLES OF THE COMPANIES FROM THE MANUFACTURING INDUSTRY, LISTED ON THE BUCHAREST STOCK EXCHANGE

BALTES Nicolae , Lucian Blaga University of Sibiu

DRAGOE Alexandra-Gabriela-Maria , Lucian Blaga University of Sibiu

Abstract:
The paper presents a method of estimating the maximum expected loss of value that can be recorded by holding a portfolio of financial titles for a certain period of time, through the VaR model, using Monte Carlo simulation method. The research was based on the closing prices of 33 companies from the manufacturing industry in Romania, listed on the Bucharest Stock Exchange. The results of the paper showed that, for a portfolio composed of the financial titles of the 33 studied companies, in which it will be invested an amount of 1.000.000 lei, the maximum daily loss, estimated during the studied period of 01.01.2016-31.12.2016, was 2.513,47 lei.

Keywords: financial titles, Value at Risk (VaR), Monte Carlo method, closing price, market risk

JEL Classification: G11, G17

Volume: 69, Issue: 3

Pages: 19 - 28

Publication date: August, 2017

Download the article: http://economice.ulbsibiu.ro/revista.economica/archive/69302baltes&dragoe.pdf

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