Results 241 to 250 of about 53,466 (260)

Lambda Value at Risk: A New Backtestable Alternative to VaR

SSRN Electronic Journal, 2015
Asmerilda Hitaj, Ilaria Peri
openaire   +1 more source

An Empirical Study on Value-at-Risk and Backtesting VaR Models

2014
In a risky financial environment, investors gradually realise the danger of potential risk and the importance of risk management. The theory of Value-at-Risk (VaR) has become popular along with the establishment of risk management system in the field of finance. This paper will start with introducing different types of risks existing in today’s market,
openaire   +1 more source

A VaR-based Downside Risk Analysis of Indian Equity Mutual Funds in the Pre- and Post-global Financial Crisis Periods

Journal of Emerging Market Finance, 2019
Soumya Guha Deb
exaly  

Value-at-risk (VAR)

1998
Benninga, S.Z., Wiener, Z.
openaire   +1 more source

Conditional Value at Risk (C-VaR)

2008
openaire   +1 more source

Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models

Physica A: Statistical Mechanics and Its Applications, 2016
Pu Gong
exaly  

Value‐at‐Risk and Credit VaR

2014
David Moskovic, Suleman Baig, Alexandru Voicu   +2 more
exaly  

Conditional Value at Risk (C-VaR)

2011
openaire   +1 more source

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

Management Science, 2004
Alexandre Baptista, Gordon J Alexander
exaly  

An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III

Australian Journal of Management, 2016
exaly