Results 261 to 270 of about 248,583 (305)

Conditional Expectile: An Alternative to Value at Risk (VaR)

SSRN Electronic Journal, 2021
Various risk measures have been reviewed against the criteria commonly accepted by financial researchers and practitioners: coherence, elicitability, comonotonic additivity, and intuitiveness. It follows that the only risk measure that is both coherent and elicitable is an Expectile based risk measure. But unlike the VaR measure, the Expectile does not
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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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Value-at-Risk dynamics: a copula-VAR approach

The European Journal of Finance, 2019
In financial research and among risk management practitioners the estimation of a correct measure of the Value-at-Risk still proves interesting.
Giovanni de Luca, Giorgia Rivieccio, Stefania Corsaro   +2 more
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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
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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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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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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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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.
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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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2010
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