文章基本信息

标题：Defining and Measuring Bank’s Equity Risk: Evidence from the Erste Bank Group Romania
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作者：Ioana Pleșcău
期刊名称：Ovidius University Annals: Economic Sciences Series
电子版ISSN：2393-3127
出版年度：2015
卷号：15
期号：2
语种：English
出版社：Ovidius University Press
摘要：In this paper we have computed and analyzed the VaR of Erste Bank Romania, in comparison with the VaRs of three important peers of this bank. We have used 500 daily stock returns in order to calculate values at risk with the historical simulations approach at a confidence level of 99%. Also, we have tested the hypothesis regarding the existence of a relationship between the VaR of the market index BET and the VaRs of each bank. Our findings could not reject this hypothesis.
关键词：value at risk;market risk;historical simulations