Results 31 to 40 of about 424,806 (227)

The concept of value at risk (VaR) and risk regulatory in Montenegro

Acta Economica, 2014
The concept of value at risk (Value at Risk - VaR) is a measure that is increasingly used for assessing the level of exposure of financial markets’ participants.
Јулија Церовић
doaj   +3 more sources

VaR Methodology Application for Banking Currency Portfolios [PDF]

Theoretical and Applied Economics, 2007
VaR has become the standard measure that financial analysts use to quantify market risk. VaR measures can have many applications, such as in risk management, to evaluate the performance of risk takers and for regulatory requirements, and hence it is very
Daniel Armeanu, Florentina-Olivia Balu
doaj   +1 more source

STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS

Advanced Engineering Research, 2013
The simulation of stock price fluctuations is analyzed. The statistical criteria application allows drawing the conclusion on the investigated models’ validity. Alongside with well-known Kolmogorov-Smirnov and Anderson-Darling criteria, comparatively new
Kirill Valeryevich Kirillov
doaj   +1 more source

ANALYSIS OF THE MOST COMMON CALCULATION METHODS “VALUE AT RISK, VAR”

Фінансово-кредитна діяльність: проблеми теорії та практики, 2022
The Regulation of the National Bank of Ukraine on Risk Management in Ukrainian Banks stipulates that this Regulation obliges banks to use the VaR methodology to assess market risk.
Олена Pavliuk, Tetiana Melnyk
doaj   +1 more source

Value At Risk (VAR) With Respect To Single Risk Factor [PDF]

Revista Română de Statistică, 2010
The paper reports on developing a value at risk (VaR) model with respect to a single risk factor. In the process, it shows how stochastic differential equation (SDE) and its variants can be considered as special cases of the VaR framework developed ...
Anass BAYAGA
doaj  

Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis

, 2017
As we know, there is a belief in the finance literature that Value at Risk (VaR) and Conditional Value at Risk (CVaR) are new approaches to manage and control the risk.
S. Banihashemi, S. Navidi
semanticscholar   +1 more source

Forecast combinations for value at risk and expected shortfall

International Journal of Forecasting, 2020
Combining provides a pragmatic way of synthesising the information provided by individual forecasting methods. In the context of forecasting the mean, numerous studies have shown that combining often leads to improvements in accuracy.
James W. Taylor
semanticscholar   +1 more source

Comparing Model Selection Criteria to Distinguish Truncated Operational Risk Models

Frontiers in Applied Mathematics and Statistics, 2020
In this paper three information criteria are employed to assess the truncated operational risk models. The performances of the three information criteria on distinguishing the models are compared.
Daoping Yu
doaj   +1 more source

Penggunaan Metode VaR (Value At Risk) dalam Analisis Risiko Investasi Saham dengan Pendekatan Generalized Pareto Distribution (GPD) [PDF]

, 2012
Investasi di pasar modal bertujuan untuk memperoleh return, sebesar-besarnya dengan risiko tertentu. Pengukuran risiko merupakan hal yang sangat penting berkaitan dengan investasi dana yang cukup besar, sehingga dapat mengurangi terjadinya kerugian ...
Akbar, M. S. (M), Haryono, H. (Haryono), Zuhara, U. (Ummi)   +2 more
core  

Do Islamic indices provide diversification to bitcoin? A time-varying copulas and value at risk application

Pacific-Basin Finance Journal, 2020
The emergence of new asset classes offers avenues to international investment community however understanding relationship between any two assets in a single portfolio is important.
M. Rehman, Nadia Asghar, S. Kang
semanticscholar   +1 more source