On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall [PDF]
Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems.
Yamai, Yasuhiro, Yoshiba, Toshinao
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Evaluation of Value-at-Risk (VaR) using the Gaussian Mixture Models
Research in StatisticsThe normality of the distribution of stock returns is one of the basic assumptions in financial mathematics. Empirical studies, however, undermine the validity of this assumption.
Indrė Morkūnaitė +2 more
doaj +1 more source
A value at risk analysis of credit default swaps [PDF]
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity.
Raunig, Burkhard, Scheicher, Martin
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Deposit Mudarabah Investment Risk Analysis Method Value at Risk (VaR)
International Journal of Economics, Business and Accounting Research (IJEBAR), 2020 Abstract The purpose of this study is to understand the risk and return on net return on mudharabah deposits in Islamic banks using the Value at Risk (VaR) approach. The objects in this study are quarterly financial statements of Bank Syariah Mandiri, Bank BRI Syariah, and Muamalat Bank for three years, 2015-2017. The VaR analysis results ...
openaire +2 more sources
Risk Management of Precious Metals [PDF]
This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside
Farooq Malik +2 more
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The Economic Value of Forecasts in Reducing Extreme Total Losses
Meteorological ApplicationsA major aim of weather and other types of environmental forecasting is to provide early warning of extreme hazards that can then be used to take preventative actions to reduce loss.
David B. Stephenson
doaj +1 more source
Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization [PDF]
We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. We describe the advantages and the disadvantages of expected shortfall over VaR.
Yamai, Yasuhiro, Yoshiba, Toshinao
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Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range [PDF]
Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important, especially during the 2008-09 global financial crisis.
Chen, C.W.S. +3 more
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Application of Value at Risk Model in Technological Investment Portfolio Management - A Case in Iranian Petroleum Industry [PDF]
بهبود مدیریت, 2011 Technology portfolio is a rather recent and popular approach in the literature of technology management. The problem of technology portfolio management is to find the appropriate distribution of capital & resources among a set of technologies, provides ...
Sayed Farhang Fasihi +2 more
doaj
Estimasi Value At Risk (VaR) Portofolio Saham yang Tergabung dalam Indeks LQ45 Periode Agustus 2014 Sampai Januari 2015 Menggunakan Metode Copula GARCH [PDF]
, 2015 Investasi merupakan salah satu cara alternatif yang dilakukan dalam meningkatkan aset di masa mendatang. Salah satu financial asset yang banyak diminati adalah investasi dalam bentuk saham.
Haryono, H. (Haryono) +1 more
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