SHS Web Conf.
Volume 74, 2020The 19th International Scientific Conference Globalization and its Socio-Economic Consequences 2019 – Sustainability in the Global-Knowledge Economy
|Number of page(s)||6|
|Section||Behavioral Economics and Finance|
|Published online||10 January 2020|
Possibilities of Var Application in Financial Investments
University of Zilina, FPEDAS, department of economics Univerzitná 1,010 26 Žilina, Slovakia
2 University of Zilina, FPEDAS, department of quantitative methods and economic informatics Univerzitná 1,010 26 Žilina, Slovakia
* Corresponding author: firstname.lastname@example.org
Value at Risk is one of the quantitative methods used in banking and insurance. It is basically a statistical estimate of the worst loss that may occur with a certain probability in a certain future period. The main aim of this paper is application of Value at Risk model to the problem of optimal portfolio creation. It focuses on banking sector in Slovak republic and uses Value at Risk to assess the risk of commercial bank sector in Slovakia. To achieve this goal, it uses several methods of formal logic like analysis, synthesis, deduction, comparison as well as statistical methods. The first part is dedicated to a description and characterization of Value at Risk. Second part is oriented on characteristics of Slovak banking sector. Results consist of application of Value at risk on five biggest commercial banks in Slovakia. The conclusion of this paper is focused on the sets of recommendations for Value a Risk application and possible source of problems, which could occur while applying it under the conditions of small economy and its banking sector.
© The Authors, published by EDP Sciences, 2020
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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