MARKET RISK ASSESSMENT OF COMPANIES ON THE BULGARIAN STOCK EXCHANGE THROUGH THE “VALUE AT RISK” (VaR) METHODOLOGY

Sergey Radukanov

Authors

Sergey Radukanov D. A. Tsenov Academy of Economics – Svishtov

Keywords:

market risk, value at risk, return

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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