Analysis and Development of Mathematical Models for Assessing Investment Risks in Financial Markets

Source abstract

In this paper we have analyzed existing approaches and mathematical models for forecasting investment risks. We have applied an existing methodology to actual financial markets using different investment strategies (for companies working in different areas and having different potential) and extra preliminary analysis as well as data mining methods. The study investigates how to analyze investors’ interests, calculate their profits and possible losses based on the financial risks that exist in the market at the moment. For this reason, we proposed our own mathematical models based on the Value-at-Risk and Conditional VaR methodologies. For practical modeling, the stock market and the S&P 500 companies of different lines of business were chosen. The asset prices of companies in the industrial sector over the past 5 years were studied. The time series of share prices were constructed and processed in the form of profits for one day for each share, VaR, CVaR, Monte Carlo VaR models were developed.