The risk assessment of the investments in the companies belonging to the manufacturing industry in Romania, listed on the Bucharest Stock Exchange

Abstract

VaR represents an advanced model of risk management, appropriate for estimating the financial risk of a financial title taken individually or of a portfolio of titles. The research aims to quantify the maximum loss of the securities value, based on their daily closing prices, at a 5% relevance level, using the historical simulation method. The research sample consists of a number of 33 companies belonging to the manufacturing industry in Romania, listed on the Bucharest Stock Exchange, in standard and premium categories. Based on a number of 260 statistical observations, corresponding to the working days from the period 01.01.2016 - 31.12.2016, it was determined the maximum loss of value for investors, at the portfolio’s level and also for the title that belongs to the company with the highest rentability of the closing price. The results have shown that by diversifying the investment in a portfolio of securities, the potential loss of value for investors it’s reduced substantially.