Results 21 to 30 of about 424,806 (227)
Application of Monte Carlo simulation methods in risk management
Journal of Business Economics and Management, 2007 The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0 introduces new modification of Monte Carlo algorithm aimed at fast and effective calculation of financial organization's ...
Alexander Suhobokov
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Risiko Pasar Saham Perbankan Syariah dengan Metode Standar Deviasi Markowitz dan Value At Risk (Var)
Jurnal Manajemen, 2021 This study describes the measurement of market risk in Islamic banking by calculating the Markowitz standard deviation and the market risk Value at Risk (VaR). The data used in this study are Islamic bank stocks in the Indonesia Stock Exchange, namely in
Permana Sari Anita +1 more
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, 2021 To assess the time-varying dynamics in value-at-risk (VaR) estimation, this study has employed an integrated approach of dynamic conditional correlation (DCC) and generalized autoregressive conditional heteroscedasticity (GARCH) models on daily stock ...
Fahim Afzal +4 more
semanticscholar +1 more source
What is the best risk measure in practice? A comparison of standard measures [PDF]
, 2015 Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting.
Emmer, Susanne +2 more
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Determining investment risk in an exchange portfolio by using Value at Risk (VaR) method [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2007 In optimizing an investment portfolio, the aim is to determine optimal value of per security, where prepares the minimum risk and the maximum return. One of the methods to measure risk of portfolio is Value at Risk (VaR).
Jamshid Salehi Sadaghiani
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Climate value at risk and expected shortfall for Bitcoin market
, 2021 The economic risk of the carbon footprint of the Bitcoin network remains unexplored. We develop the real-time artificial price for the carbon footprint of the Bitcoin network and thereby extend the climate value at risk (VaR) into the climate expected ...
Lu Yang, Haifeng Xu
semanticscholar +1 more source
Combined Stochastic Process and Value at Risk: A Real-World Information System Decision Case
Entropy, 2019 In this study, we used a combined stochastic process and value-at-risk (VaR) method to examine an electronic commerce expansion decision. By modeling uncertain benefits as a stochastic process, maximum losses of alternative decisions were quantified and ...
Liang-Chuan Wu +2 more
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On the factors of Bitcoin’s value at risk
Financial Innovation, 2021 This study investigates the factors of Bitcoin’s tail risk, quantified by Value at Risk (VaR). Extending the conditional autoregressive VaR model proposed by Engle and Manganelli ( 2004 ), I examine 30 potential drivers of Bitcoin’s 5% and 1% VaR.
J. Kwon
semanticscholar +1 more source
Risks, 2018 There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities.
Robert J. Powell +2 more
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Extreme tails behavior in Asian currency markets
Business Review, 2021 This study examines extreme tail behavior in Asian currency markets for the period of 2005-2018. Value-at-Risk (VaR) is estimated through Extreme Value Theory (EVT) approach to forecast losses incurred in a day in Asian currencies. Initially EVT approach
Sumaira Zia +2 more
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