Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets
By: Grzegorz Mentel
Open Access
|Dec 2011Abstract
In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.
Language: English
Page range: 34 - 51
Published on: Dec 21, 2011
Published by: University of Szczecin
In partnership with: Paradigm Publishing Services
Publication frequency: 2 issues per year
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© 2011 Grzegorz Mentel, published by University of Szczecin
This work is licensed under the Creative Commons License.