Results 71 to 80 of about 513 (158)

Medidas alternativas de volatilidad en el mercado de valores peruano

Revista de Análisis Económico y Financiero, 2019
This document seeks to compare the main volatility calculation methodologies for the Peruvian stock market. Three volatility calculation methods are presented, the EWMA model, the GARCH model and the Stochastic Volatility (SV) model.
Rafael Nivin Valdiviezo
doaj   +1 more source

Optimized Indicators of Technical Analysis on the New York Stock Exchange

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2016
The article is focused on the use of technical analysis and it’s indicators. The main aim is the evaluation of technical analysis for selected index instruments which are traded on NYSE.
Martin Širůček, Karel Šíma
doaj   +1 more source

Monte Carlo-Based VaR Estimation and Backtesting Under Basel III

Risks
Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model ...
Yueming Cheng
doaj   +1 more source

ESTIMASI NILAI CONDITIONAL VALUE AT RISK (CVaR) PORTOFOLIO MENGGUNAKAN METODE EVT-GJR-VINE COPULA

E-Jurnal Matematika, 2019
Conditional value at risk (CVaR) is widely used in risk measure that takes into account losses exceeding the value at risk level. The aim of this research is to compare the performance of the EVT-GJR-vine copula method and EVT-GARCH-vine copula method in
NI WAYAN UCHI YUSHI ARI SUDINA, KOMANG DHARMAWAN, I WAYAN SUMARJAYA   +2 more
doaj   +1 more source

Forecasting Value-at-Risk Using Conditional Volatility Models: Evidence from Tehran Stock Exchange [PDF]

تحقیقات مالی, 2008
In this paper, we investigate the performance of parametric ARCH class models to forecast out-of-sample VaR for two portfolios of Tehran Stock Exchange (TSE) companies (Market portfolio and a portfolio of 50 liquid companies), using a number of ...
شاپور محمدی, رضا راعی, آرش فیض‌آباد   +2 more
doaj  

Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk

Risks, 2018
This paper presents the first methodological proposal of estimation of the Λ V a R . Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk ...
Asmerilda Hitaj, Cesario Mateus, Ilaria Peri   +2 more
doaj   +1 more source

Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies

Risks
Under the revised market risk framework of the Basel Committee on Banking Supervision, the model validation regime for internal models now requires that models capture the tail risk in profit-and-loss (P&L) distributions at the trading desk level.
Janine Balter, Alexander J. McNeil
doaj   +1 more source

The dynamic quantile approach for VaR estimation: empirical evidence from Indonesia banking industry

Cogent Business & Management
This study estimates value-at-risk (VaR) to measure foreign exchange risk in Indonesia’s banking industry using quantile regression (QR) approach. Four large banks whose capital and assets were the biggest were observed, and their selection was based on ...
Siti Saadah, Yohanes B. Suhartoko, Stanislaus S. Uyanto, Inka B. Yusgiantoro   +3 more
doaj   +1 more source

A structured multi-head attention prediction method based on heterogeneous financial data. [PDF]

PeerJ Comput Sci, 2023
Zhao C, Li F, Peng Z, Zhou X, Zhuge Y.
europepmc   +1 more source