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Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence
Revista Contabilidade & FinançasThis article considers range-based volatility modeling for identifying and forecasting conditional volatility models based on returns. It suggests the inclusion of range measuring, defined as the difference between the maximum and minimum price of an ...
Leandro dos Santos Maciel +1 more
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ESTIMATION OF VALUE AT RISK FOR GENERAL INSURANCE COMPANY STOCKS USING THE GARCH MODEL
BarekengInvestment plays a crucial role in supporting economic development by allocating funds to generate future profits. Among various investment options, stock investment is widely popular.
Edwin Setiawan Nugraha +3 more
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Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress [PDF]
In this paper, we compare value-at-risk (VaR) and expected shortfall under market stress. Assuming that the multivariate extreme value distribution represents asset returns under market stress, we simulate asset returns with this distribution. With these
Yamai, Yasuhiro, Yoshiba, Toshinao
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Assessment of credit risk using value at risk (VAR).
Journal of Administration and EconomicsThe purpose of this study is to assess the credit risk of a group of Iraqi banks between (2005 and 2018). The quantitative analysis was carried out by looking at a scale, one of which is the closest to modern indicators (VAR). Then an effective comparison of the study sample banks was made.
null امنه طعمه جبر +1 more
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Measuring market risk using extreme value theory [PDF]
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutions to develop value-at-risk (VaR) models to measure market risk.
Mapa, Dennis S., Suaiso, Oliver Q.
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GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies [PDF]
In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models.
Juan-Ángel Jiménez-Martín +3 more
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Testing, Comparing, and Combining Value at Risk Measures [PDF]
Value-at-Risk (VaR) has emerged as the standard tool for measuring and reporting financial market risk. Currently, more than eighty commercial vendors offer enterprise or trading risk management systems which report VaR-like measures.
Atsushi Inoue +2 more
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Managing market risk with VaR (Value At Risk)
Management : Journal of Contemporary Management Issues, 2013 Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. Value at Risk has become the standard measure that financial analysts use to quantify market risk. For estimating risk, the issue is that different ways to estimate volatility can lead to very different VaR calculations.
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Agricultural Applications of Value-at-Risk Analysis: A Perspective [PDF]
Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence.
Mark R. Manfredo, Raymond M. Leuthold
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Risk Comparison in Optimal Portfolios: A Study of Value at Risk (VaR) and Tail Value at Risk (TVaR)
Mathematical Journal of Modelling and ForecastingConsidering investment risk is something that investors must do before deciding to invest; measuring risk provides an opportunity for investors to get the desired return and minimize losses. This study compares Value at Risk (VaR) and Tail Value at Risk (TVaR) methodologies for measuring portfolio risk.
null Turnika Afdatul Rafni +1 more
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