Results 11 to 20 of about 424,806 (227)
VALUE-AT-RISK (VaR) FOR LQ – 45 COMPANIES [PDF]
Journal of Applied Finance & Accounting, 2011 This paper offers a new measurement of risk, Value-at-Risk (VaR) for LQ-45 index in Indonesian Stock Exchange (ISX). Basic finance uses standard deviation in measuring and quantifying the risks. This paper uses VaR as a risk measure by using historical and analytical methods.
Handika, R. (Rangga)
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Applying stress-testing on value at risk (VaR) methodologies [PDF]
, 2004 In recent years, Value at Risk (VaR) methodologies, i. e., Parametric VaR, Historical Simulation and the Monte Carlo Simulation have experienced spectacular growth within the new regulatory framework which is Basle II. Moreover, complementary analyses such a Stress-testing and Back-testing have also demonstrated their usefulness for financial risk ...
Feria Domínguez, José Manuel +1 more
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Australian Journal of Management, 2016 Katherine Uylangco, Siqiwen Li
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
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The Efficiency of Value-at-Risk Models during Extreme Market Stress in Cryptocurrencies
Sustainability, 2023 In recent years, the cryptocurrency market has been experiencing extreme market stress due to unexpected extreme events such as the COVID-19 pandemic, the Russia and Ukraine war, monetary policy uncertainty, and a collapse in the speculative bubble of ...
Danai Likitratcharoen +3 more
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Forecasting Value at Risk and Expected Shortfall using a Model with a Dynamic Omega Ratio
Journal of Banking & Finance, 2022 A joint model for the Value at Risk (VaR) and expected shortfall (ES) can be estimated using a joint scoring function. Previous work has modelled the ES as the product of the VaR and a constant factor.
James W. Taylor
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An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange [PDF]
Ekonomski Anali, 2009 This paper presents market risk evaluation for a portfolio consisting of shares that are continuously traded on the Belgrade Stock Exchange, by applying the Value-at-Risk model - the analytical method.
Obadović Milica D. +1 more
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Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception [PDF]
Amfiteatru Economic, 2020 Inclusion in the European Sustainability Index is a feature of companies that are perceived as “sustainable” in general. The objective of the research in this article is to analyse the perception of investors by investigating the extent to which these ...
Iulia Lupu +3 more
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Cyber Risk Quantification: Investigating the Role of Cyber Value at Risk
Risks, 2021 The aim of this paper is to deepen the application of value at risk in the cyber domain, with particular attention to its potential role in security investment valuation. Cyber risk is a fundamental component of the overall risk faced by any organization.
A. Orlando
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Value-at-risk (VAR) analysis of the UK banking stocks
Pressacademia, 2021 Purpose. COVID-19's spread and worldwide efforts to contain it are having a significant influence on UK economic activity. Investor concernsabout the coronavirus pandemic intensified, resulting in a decline in the value of listed shares and heightened market volatility. In thiscontext, it is interesting to look into the considerable banking stocks
ALSHAMALI, Nour +3 more
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