Using Value at Risk (VaR) Model Based on Monte Carlo Method on Property Market

Main Article Content

Ewa Krawczyk

Abstract
Value at Risk – the method emerged several years ago that measures potential loss at a given confidence level. The method is undergoing continous improvment, finding new use in financial institutions. Investment briefcase management is inseparably connected with risk mamagement – process succured today with risk models. Presented attempt of enforcing specialized tool for measuring defined risk for separeted risk on property market analysis gives following remarks: 1. In the situation of considerable growth of investition on property market, which is financed mainly from bank infestations, there is need to make out risk models which describes market segment behaviour and let to limit possible loss. The loss caused by overoptimistic predictions and wrong costeffectiveness calculation. 2. Well-known and used at financial market risk models are great tools to connect both segments of market – financial and objective – and for empiric verification including investment projects. 3. VaR model may be used for the needs of defined risk of separeted investment project, which is characterized by indicator of profitability (NP), but obtained results should be treatened with limited confidence

Article Details

How to Cite
Krawczyk, E. (2006). Using Value at Risk (VaR) Model Based on Monte Carlo Method on Property Market. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (58), 117–133. https://doi.org/10.22630/EIOGZ.2006.58.9
References

BEST P., Wartość narażona na ryzyko. Dom Wydawniczy ABC. Kraków 2000.

BRIGHAM E.F.,. GAPENSKI L.C, Zarządzanie finansami. PWE, Warszawa 1996.

JAJUGA K., JAJUGA T., Inwestycje. PWN. Warszawa 2002.

JAJUGA K., CEGIELSKI K., Nieruchomości. C.H. Beck. 11/2003. Jones Lang LaSalle. Rynek nieruchomości w Warszawie.

Statistics

Downloads

Download data is not yet available.
Recommend Articles
Most read articles by the same author(s)