Measurement and Analysis of the Expected Financial Risks of the Portfolio using Mathematical Methods


Dali Magrakvelidze
Georgian Technical University


A risk metric is a measure of an uncertainty in the future value of a portfolio, i.e. a measure of uncertainty in the portfolio’s return or profit and loss (P&L). Its fundamental purpose is to summarize the potential for the deviations from a target or the expected value. Value at risk (VaR) is one of the most important and widely used statistics in economics that measures the potential of the risk of loss. Practically it was accepted as a cornerstone of the risk and common language in basic financial institutions and adjustment management. VaR measures the probability level of the maximum loss for portfolioduring some period of the time. Apart from the traditional way of measuring the loss, VaR method is more adaptive and scientific.

April 12, 2020