<abstract xml:lang="en" xmlns="http://www.w3.org/1999/xhtml"><p>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. <italic>RiskGrade (RG)</italic>. The measure has been introduced by <italic>RiskMetrics</italic>. The article presents the application of <italic>RiskGrades</italic> 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.</p></abstract>

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.

Riskmetrics<sup>™</sup> Methodology in Assessment of Investment Risk on Capital Markets

Department of Quantitative Methods, Faculty of Management, Rzeszow University of Technology, Powstańców Warszawy 8, 35-959 Rzeszów

Folia Oeconomica Stetinensia

Riskmetrics Methodology in Assessment of Investment Risk on Capital Markets

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:...

Riskmetrics^™ Methodology in Assessment of Investment Risk on Capital Markets

Publicado en línea: 21 dic 2011

Páginas: 34 - 51

DOI: https://doi.org/10.2478/v10031-010-0009-3

Palabras clave
risk, capital market

This content is open access.

Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets