Results 171 to 180 of about 424,806 (227)
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Mathematics and Computers in Simulation, 2021
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo algorithm for
Seyed Mohammad Sina Seyfi +2 more
semanticscholar +1 more source
Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo algorithm for
Seyed Mohammad Sina Seyfi +2 more
semanticscholar +1 more source
Value at risk, mispricing and expected returns
International Review of Financial Analysis, 2021This study investigates how the relation between value-at-risk (VaR) and expected returns differs under different mispricing statuses. We find that a significantly negative VaR-return relation, defined as the VaR effect, is observed only for overpriced ...
Baochen Yang, Yao Ma
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The Journal of Risk Finance, 2023
PurposeThis paper investigates the influence of the ongoing crisis of Russia's incursion on Ukraine on the risk dynamics of energy futures contracts with high-frequency data on four different futures contracts using risk metrics of value at risk (VaR ...
A. Banerjee
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PurposeThis paper investigates the influence of the ongoing crisis of Russia's incursion on Ukraine on the risk dynamics of energy futures contracts with high-frequency data on four different futures contracts using risk metrics of value at risk (VaR ...
A. Banerjee
semanticscholar +1 more source
Artifactual unit root behavior of Value at risk (VaR)
Statistics & Probability Letters, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chan, Ngai Hang, Sit, Tony
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European Journal of Operational Research, 2020
In this paper we investigate an optimal investment problem under loss aversion (S-shaped utility) and with trading and Value-at-Risk (VaR) constraints faced by a defined contribution (DC) pension fund manager.
Yinghui Dong, Harry Zheng
semanticscholar +1 more source
In this paper we investigate an optimal investment problem under loss aversion (S-shaped utility) and with trading and Value-at-Risk (VaR) constraints faced by a defined contribution (DC) pension fund manager.
Yinghui Dong, Harry Zheng
semanticscholar +1 more source
VaR (Value at Risk) Model [PDF]
Romanian Statistical Review Supplement, 2012 The VaR model represents a significant progress in risk analysis, among the improvements it brings we can outline the attempt to measure risk itself in terms of an eventual loss, instead of focusing on gain-based approach.
Vergil VOINEAGU, Danut CULETU
openaire
Value-at-Risk dynamics: a copula-VAR approach
The European Journal of Finance, 2019In financial research and among risk management practitioners the estimation of a correct measure of the Value-at-Risk still proves interesting.
Giovanni de Luca +2 more
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Value-at-Risk (VaR) Computations Under Various VaR Models and Stress Testing
Journal of Transnational Management Development, 2004SUMMARY Bank for International Settlements (BIS) proposes that all banks calculate and report amount of market risk they incur and allocate sufficient amount of capital starting at the beginning of year 2002. BIS also suggests that value-at-risk (VaR) models in computing market risk should be used.
Suat Teker, M. Baris Akçay
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Range-based models in estimating value-at-risk (VaR) [PDF]
Philippine Review of Economics, 2008 This paper introduces new methods of estimating Value-at-Risk (VaR) using range-based GARCH (general autoregressive conditional heteroskedasticity) models. These models, which could be based on either the Parkinson range or the Garman-Klass range, are applied to ten stock market indices of selected countries in the Asia-Pacific region.
Mapa, Dennis, Beronilla, Nikkin
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2010
In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss
Moorad Choudhry +4 more
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In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss
Moorad Choudhry +4 more
openaire +1 more source