MARKET RISK ASSESSMENT OF COMPANIES ON THE BULGARIAN STOCK EXCHANGE THROUGH THE “VALUE AT RISK” (VaR) METHODOLOGY
Abstract
The article clarifies the main VaR methods in theoretical terms - relative, historical simulation and Monte Carlo simulation. Their advantages, disadvantages and scope of application are pointed out. The basic stages of calculation in MS EXSEL environment are outlined. The market risk is measured for the largest five companies (market capitalization) included in the SOFIX index of the Bulgarian Stock Exchange - Eurohold Bulgaria AD-Sofia, Sopharma AD-Sofia, Gradus AD-Stara Zagora, CB First Investment Bank AD-Sofia and Holding Varna AD-Varna.
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New knowledge Journal of science is financed by the National Science Fund of the Republic of Bulgaria - contract № КП-06-НП1/5 of 17.12.2019 in the competition of Bulgarian scientific periodicals – 2019
New knowledge Journal of science is financed by the National Science Fund of the Republic of Bulgaria – contract № ДНП 05/52 от 22.12.2016 in the competition of Bulgarian scientific periodicals – 2016
The contents of this publication do not necessarily reflect the position or opinion of the National Science Fund of the Republic of Bulgaria. The opinions expressed are those of the author(s) only and should not be considered as representative of the National Science Fund’s official position.
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