The scientific problem of the dissertation is search of adequacy of the trading portfolio risk management methods and models to the current economic, technological, and informational circumstances of financial institutions. The main features of science novelty characteristic to this research are the following: (i)the comparative study on Value at Risk estimation methods allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of Value at Risk estimation methods were suggested as well; (ii) the comparative study on performance of volatility forecasting models allowed to make important theoretic conclusion that selection of Value at Risk estimation methods depends on characteristics of the data under investigation and selected criteria for assessment of forecasting accuracy; in the context of risk management, the priority was given to operational rather than statistical accuracy assessment techniques in the context of risk management; (iii)the comparative study on risk adjustment measures allowed making important theoretic conclusion that selection of risk adjustment measures depends mostly on characteristics of the portfolio under investigation; theoretic recommendations regarding selection of risk adjustment measures were suggested as well. / Sparčiai kintant finansinių institucijų veiklos sąlygoms, didėjant finansinių rinkų nepastovumui bei apimčiai, atsirandant vis naujoms finansinėms priemonėms, o kartu su jomis ir naujoms finansinių institucijų rizikos rūšims, ypač išaugo prekybinio portfelio rizikos valdymo poreikis. Prekybinio portfelio rizikos valdymas tampa vis aktualesnis ir Lietuvos finansinėms institucijoms, ypač investicinių bei pensijų fondų valdytojams, investuojantiems į užsienio vertybinius popierius, denominuotus kitomis valiutomis nei litai ar eurai. Prekybinio portfelio rizikos valdymas yra labai aktuali tema ir atskirų šalių centriniams bankams bei tarptautinėms finansų sistemos priežiūros institucijoms.
| Identifer | oai:union.ndltd.org:LABT_ETD/oai:elaba.lt:LT-eLABa-0001:E.02~2006~D_20060404_150317-58493 |
| Date | 04 April 2006 |
| Creators | Dzikevičius, Audrius |
| Contributors | Štreimikienė, Dalia, Šileika, Algis, Melnikas, Borisas, Simanauskas, Leonas, Rutkauskasa, Aleksandras Vytautas, Kaklauskas, Artūras, Simutis, Rimvydas, Vilnius Gediminas Technical University |
| Publisher | Lithuanian Academic Libraries Network (LABT), Vilnius Gediminas Technical University |
| Source Sets | Lithuanian ETD submission system |
| Language | English |
| Detected Language | English |
| Type | Doctoral thesis |
| Format | application/pdf |
| Source | http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2006~D_20060404_150317-58493 |
| Rights | Unrestricted |
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