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master's thesis
Mjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije
Diplomski rad
2020. urn:nbn:hr:145:373463
Dubravac, Valentina
Josip Juraj Strossmayer University of Osijek
Faculty of Economics and Business in Osijek

Cite this document

Dubravac, V. (2020). Mjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije : Diplomski rad (Master's thesis). Osijek: Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek. Retrieved from https://urn.nsk.hr/urn:nbn:hr:145:373463

Dubravac, Valentina. "Mjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije : Diplomski rad." Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, 2020. https://urn.nsk.hr/urn:nbn:hr:145:373463

Dubravac, Valentina. "Mjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije : Diplomski rad." Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, 2020. https://urn.nsk.hr/urn:nbn:hr:145:373463

Dubravac, V. (2020). 'Mjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije : Diplomski rad', Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, accessed 22 October 2024, https://urn.nsk.hr/urn:nbn:hr:145:373463

Dubravac V. Mjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije : Diplomski rad [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek; 2020 [cited 2024 October 22] Available at: https://urn.nsk.hr/urn:nbn:hr:145:373463

V. Dubravac, "Mjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije : Diplomski rad", Master's thesis, Josip Juraj Strossmayer University of Osijek, Faculty of Economics and Business in Osijek, Osijek, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:145:373463

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Metadata
TitleMjerenje rizičnosti ulaganja u odabrane dionice korištenjem Value-at-Risk metodologije : Diplomski rad
Title (english)Measuring the risk of investing in selected stocks by using the Value-at Risk methodology
AuthorValentina Dubravac
MentorDomagoj Sajter (mentor)
Committee memberJosip Mesarić (predsjednik povjerenstva)
Committee memberDomagoj Karačić (član povjerenstva)
Committee memberDomagoj Sajter (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Faculty of Economics and Business in Osijek
Osijek
Defense date and country2020-09-29, Croatia
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Finance
Abstract
Investiranje se može definirati kao aktivnost kojom se ulaganjem određene vrste imovine nastoji generirati prihod. Kako bi investiranje bilo što sigurnije, neophodno je pratiti tržišna kretanja i pravilno upravljati tržišnim rizikom. Danas postoje brojne mjere kojima se rizik kvantificira, a jedna od njih je rizična vrijednost (eng. Value-at-Risk ili VaR). U ovom se radu prezentira teorijski okvir pojma rizične vrijednosti, nakon čega u istraživačkom dijelu rada slijedi mjerenje rizičnosti ulaganja u dionice na primjerima. Za analizu su izabrane dvije multinacionalne kompanije koje posluju u istom sektoru i koje se smatraju konkurentima, a to su Novartis International AG i Roche Holding AG. Na temelju povijesnih podataka o kretanju cijena dionica odabranih kompanija mjerena je rizičnost ulaganja korištenjem VaR-a. Na temelju provedene analize, može se reći kako je sigurnije ulagati u dionice kompanije Novartis International AG, a do tog zaključka se dolazi na osnovu dobivenih VaR vrijednosti, koje su manje od dobivenih VaR vrijednosti za dionice kompanije Roche Holding AG.
Abstract (english)
Investing can be defined as an activity that generates income by placing the capital in a certain type of property. To invest as safely as possible, it is necessary to monitor market trends and properly manage market risk. Today, there are a number of measures by which risk is quantified, while one of them is the Value-at-Risk (VaR). In this paper it is presented theoretical framework of the concept of Value-at-Risk, followed by the research part of the paper measuring the risk of investing in shares on examples. Two multinational companies operating in the same sector and considered as competitors were selected for analysis, namely Novartis International AG and Roche Holding AG. Based on historical data on stock price movements of selected companies, it was measured the investment risk using the VaR methodology. Based on the analysis, it can be said that it is safer to invest in shares of Novartis International AG, and this conclusion is reached on the basis of obtained VaR values, which are less than the obtained VaR values for shares of Roche Holding AG.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:145:373463
Study programmeTitle: Financial Management
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra ekonomije (magistar/magistra ekonomije)
Type of resourceText
File originBorn digital
Access conditionsAccess restricted to students and staff of home institution
Terms of useLicence In copyright icon
Created on2021-01-25 13:10:38