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master's thesis
Rizične vrijednosti portfelja, Monte Carlo metoda
2019. urn:nbn:hr:191:893961
Galonja, Matej
University of Rijeka
Faculty of Tourism and Hospitality Management

Cite this document

Galonja, M. (2019). Rizične vrijednosti portfelja, Monte Carlo metoda (Master's thesis). Opatija: University of Rijeka, Faculty of Tourism and Hospitality Management. Retrieved from https://urn.nsk.hr/urn:nbn:hr:191:893961

Galonja, Matej. "Rizične vrijednosti portfelja, Monte Carlo metoda." Master's thesis, University of Rijeka, Faculty of Tourism and Hospitality Management, 2019. https://urn.nsk.hr/urn:nbn:hr:191:893961

Galonja, Matej. "Rizične vrijednosti portfelja, Monte Carlo metoda." Master's thesis, University of Rijeka, Faculty of Tourism and Hospitality Management, 2019. https://urn.nsk.hr/urn:nbn:hr:191:893961

Galonja, M. (2019). 'Rizične vrijednosti portfelja, Monte Carlo metoda', Master's thesis, University of Rijeka, Faculty of Tourism and Hospitality Management, accessed 02 December 2024, https://urn.nsk.hr/urn:nbn:hr:191:893961

Galonja M. Rizične vrijednosti portfelja, Monte Carlo metoda [Master's thesis]. Opatija: University of Rijeka, Faculty of Tourism and Hospitality Management; 2019 [cited 2024 December 02] Available at: https://urn.nsk.hr/urn:nbn:hr:191:893961

M. Galonja, "Rizične vrijednosti portfelja, Monte Carlo metoda", Master's thesis, University of Rijeka, Faculty of Tourism and Hospitality Management, Opatija, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:191:893961

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Metadata
TitleRizične vrijednosti portfelja, Monte Carlo metoda
Title (english)Portfolio risk values, Monte Carlo Methods
AuthorMatej Galonja
MentorGoran Karanović (mentor)
GranterUniversity of Rijeka
Faculty of Tourism and Hospitality Management
Opatija
Defense date and country2019-09-24, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Finance
Abstract
Metode izračuna rizične vrijednosti su zapravo statističke metode kojima se mjeri i upravlja razinom financijskog rizika investicijskog portfelja kroz određeni vremenski period. Prvi korak upravljanja rizicima jest upoznavanje rizika kojima su određene organizacije ili sam pojedinac izloženi jer tek tada možemo govoriti o smanjenju njihovog potencijalnog učinka. Tržišni rizik je rizik koji se nastaje uslijed promjena na tržištu, a koje mogu dovesti do određenog gubitka vrijednosti imovine pa samim time organizacija ima interes mjeriti izloženost tom riziku. Model rizične vrijednosti te metode za mjerenje rizične vrijednosti nastale su prvenstveno za kvantifikaciju tržišnog rizika. Tijekom razvijanja sustava mjerenja rizične vrijednosti izdvojila su se tri glavna načina mjerenja rizične vrijednosti, a to su: povijesna metoda, parametarska metoda (metoda varijance i kovarijance) i Monte Carlo simulacija na koju ćemo se osvrnuti u ovome radu.
Abstract (english)
Risk value calculation methods are actually statistical methods that measure and manage the level of financial risk of an investment portfolio through a particular period. The first step in risk management is to get to know the risks that certain organizations or individuals are exposed to, because only in that case we can talk about reducing their potential impact. Market risk is the risk that arises from changes in the market that can lead to a certain loss in the value of an asset and therefore the organization has an interest in measuring its exposure to that risk. The risk model and the methods for measuring the risk value were created primarily to quantify market risk. During the development of the risk measurement system, three main ways of measuring risk were identified: the historical method, the parametric method (variance and covariance method) and the Monte Carlo simulation, which we will look at in this paper.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:191:893961
Study programmeTitle: Sustainable tourism development
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2020-03-31 15:39:02