Results 221 to 230 of about 53,466 (260)

Value-at-Risk (VaR) Computations Under Various VaR Models and Stress Testing

Journal of Transnational Management Development, 2004
SUMMARY 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
openaire   +1 more source

The Value at Risk (VAR) in the Banking System of Azerbaijan

SSRN Electronic Journal, 2012
Value at risk was calculated on the GAP between loans and deposits of the banks of the Azerbaijan banking system with 95% of confidence level and holding periods for 10 days. The average interest rates of loans were taken as risk factor in calculating of VAR.
openaire   +1 more source

Portfolio risk measurement based on value at risk (VaR)

AIP Conference Proceedings, 2018
Generally, the risk level of an investment is directly correlated with the returns to be earned by investors in the future. In current situation, it is difficult for investors, shareholders and financial managers to determine the total loss of their asset portfolio because standard deviation is insufficient to describe the actual total loss. Therefore,
Farah Azaliney Mohd Amin, Siti Fatimah Yahya, Siti Ainazatul Shazlin Ibrahim, Mohammad Shafiq Mohammad Kamari   +3 more
openaire   +1 more source

Value at Risk (VaR) in Real Options Analysis

SSRN Electronic Journal, 2003
Cash flow from operations can be controlled using real options. In this normative paper, we derive numerically in a univariate discrete time model, extension of (Kulatilaka, 1988), the expanded NPV of an industrial investment and, simultaneously, state variable thresholds for the whole life of the project to optimally exercise real options.
openaire   +1 more source

???????????????? ???????????? ???? ???????????????????? ???????????????? ?????????????? ???? ???????????? ?????????????????? VaR(value-at-risk)

2010
?????????????????????????? ?????????????? ???????????????????? ????????????????????, ?????? ?????????? ?????????? ?????????????????? ???????????????? ?????????? ???????????????????????? ??????????.
openaire   +1 more source

The Promise and the Peril of Parametric Value-at-Risk (VaR) Analysis

SSRN Electronic Journal, 2015
Leptokurtosis, or the risk lurking in “fat tails,” poses the deepest epistemic threat to economic forecasting. Parametric value-at-risk (VaR) models are extremely vulnerable to kurtosis in excess of the levels associated with a normal, Gaussian distribution.
openaire   +1 more source

Value-at-Risk (VaR)

2023
openaire   +1 more source

Value At Risk (Var) As A Market Risk Measure

Montenegrin Journal of Economics, 2010
Market risk is the potential loss on investment due to fluctuations in the market value of traded position that cannot be hedged or diversified away. Value at Risk (VAR) is a standard measure of market risk, adopted by all financial market participants. Its use in risk management is a legal and regulatory requirement.
openaire   +1 more source

Risk Forecasting Using Value at Risk (VaR)

This research analyses weekly stock data gathered from Google Finance over the previous five years to use the Value at Risk (VaR) approach to evaluate the risk exposure of four companies: Apple, Coca-Cola, Amazon, and McDonald's. To visualize the behavior and patterns of these companies' stocks, two crucial graphs were first created: stock price vs ...
openaire   +1 more source

Value-At-Risk (Var) And Extreme Value Theory (Evt)

2003
Over the past decade or so the concept of Value-at-Risk (VaR) as a risk-management tool has steadily become more and more prominent in the asset-management community. As the concept has increased in sophistication over the years, it has developed from an academic exercise to a viable risk management tool.
openaire   +1 more source