Results 261 to 270 of about 416,632 (304)

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
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Review on Three New Value at Risk (VaR) Models

Advances in Economics, Management and Political Sciences, 2023
The emergence of financial derivatives complicates traditional financial products and increases financial market volatility. Individuals and financial institutions are both exposed to more complex and uncontrollable risks in this environment. Because of the risk's uncertainty, we must use reasonable methods to predict and estimate it in order to ...
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LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS

2004
Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure. VaR conveys the probability that losses exceeding a threshold will likely occur within a specified timeframe. However, it does not provide the expected value of losses, should they happen.
Gustafson, Cole R., Gustafson, Cole R.
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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.
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Var planning problem considering conditional value-at-risk assessment

2014 IEEE PES T&D Conference and Exposition, 2014
This paper presents the reactive power planning solution under risk assessment through the CVaR (Conditional-Value-at-Risk) using stochastic programming. Load uncertainty is modeled by distribution function. Uncertainty in the reactive power availability of existing and new reactive power sources is modeled through probabilistic constraints with a ρ ...
Julio César López, J. R. S Mantovani, Javier Contreras Sanz   +2 more
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Introduction to Var (Value-At-Risk)

1999
Modern financial theory is based on several important principles, two of which are no-arbitrage and risk aversion. The single major source of profit is risk. The expected return depends heavily on the level of risk of an investment. Although the idea of risk seems to be intuitively clear, it is difficult to formalize it.
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CreditMetrics Methodology and Credit Value at Risk (Credit VaR)

SSRN Electronic Journal, 2021
Described by Hull (2011, 2012) as ‘a procedure for calculating credit value at risk’, CreditMetrics methodology (RiskMetrics Group 2007) is used for assessing portfolio risk due to changes in bond or debt value caused by credit quality changes including credit migration (upgrades and downgrades), as well as, default.
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2010
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Estimating Value-at-Risk (VaR) using TiVEx-POT Models [PDF]

, 2009
Financial institutions hold risks in their investments that can potentially affect their ability to serve their clients. For banks to weigh their risks, Value-at-Risk (VaR) methodology is used, which involves studying the distribution of losses and formulating a statistic from this distribution.
Mapa, Dennis S., Cayton, Peter Julian, Lising, Mary Therese   +2 more
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CURRENCY RISK ASSESSMENT USING VALUE-AT-RISK (VAR) METHODOLOGY [PDF]

, 2020
The measurement of currency risk through the VaR metrics is highlighted in this research work. The main VaR methods – relative, Historical Stimulation and Monte Karlo Stimulation are briefly presented. A study is conducted with real data on a specific currency pair – GBP/USD.
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