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The Promise and the Peril of Parametric Value-at-Risk (VaR) Analysis
SSRN Electronic Journal, 2015Leptokurtosis, 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.
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Value At Risk (Var) As A Market Risk Measure
Montenegrin Journal of Economics, 2010Market 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.
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A Personal Data Value at Risk (Pd-VaR) Approach
Journal of Research Innovation and Technologies (JoRIT)What if the main data protection vulnerability is risk management? Data Protection merges three disciplines: data protection law, information security, and risk management. Nonetheless, very little research has been made in the field of data protection risk management, where subjectivity and superficiality are the dominant state of the art.
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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)
2003Over 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.
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Value at Risk: Parametrisk VaR som risikostyringsredskab
2016Value at Risk revolutionized risk management ever since J.P Morgan introduced the concept in their RiskMetrics in the 1980s. VaR has changed and improved through the years and today it is an acknowledged tool in risk management and used daily in many financial institutions.Value at Risk measures an estimate of the experienced risk in monetary terms ...
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