Artificial Systems and Models for Risk Covering Operations

Laurenţiu Mihai Treapăt, Anda Gheorghiu


Mainly, this paper focuses on the roles of artificial intelligence based systems and especially on risk-covering operations. In this context, the paper comes with theoretical explanations on real-life based examples and applications. From a general perspective, the paper enriches its value with a wide discussion on the related subject. The paper aims to revise the volatilities’ estimation models and the correlations between the various time series and also by presenting the Risk Metrics methodology, as explained is a case study. The advantages that the VaR estimation offers, consist of its ability to quantitatively and numerically express the risk level of a portfolio, at a certain moment in time and also the risk of on open position (in titles, in FX, commodities or granted loans), belonging to an economic agent or even individual; hence, its role in a more efficient capital allocation, in the assumed risk delimitation, and also as a performance measurement instrument. In this paper and the study case that completes our work, we aim to prove how we can prevent considerable losses and even bankruptcies if VaR is known and applied accordingly. For this reason, the universities inRomaniashould include or increase their curricula with the study of the VaR model as an artificial intelligence tool. The simplicity of the presented case study, most probably, is the strongest argument of the current work because it can be understood also by the readers that are not necessarily very experienced in the risk management field.


VaR, volatility, artificial systems and econometrics models

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