Results 41 to 50 of about 424,806 (227)
Dört Büyük Kriptoparanın Piyasa Riskinde Covid-19 Pandemi Etkisi
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2020 Yüksek volatiliteli oldukları bilinen kripto paraları borsalarda yatırım amaçlı kullananlar için piyasa riskinin ölçülmesi, özellikle Covid-19 pandemi haberlerinin piyasalarda duyulmasıyla birlikte, daha fazla önem kazanmıştır.
Neslihan Fidan
doaj +1 more source
Valor em Risco (Var-Value at Risk)
Review of Business and Legal Sciences, 2017 O VAR (Value at Risk), valor em risco, é a perda máxima provável de uma carteira para um nível de confiança determinado, num horizonte temporal especificado. As metodologias podem ser várias paro estimar o VAR, mas dividem-se em dois grandes grupos: os não paramétricos (simulações Históricas e simulações Monte Carlo) e os paramétricos, baseadas na ...
openaire +3 more sources
Beyond Value at Risk (VaR): The Conditional VaR (CvaR) [PDF]
, 2007 En los últimos años, el Valor en Riesgo (VeR) se ha convertido en un patrón comúnmente utilizado en la medición del Riesgo de Mercado por los directivos bancarios.
Feria Domínguez, José Manuel +1 more
core
VALUE at RISK (VaR) DAN CONDITIONAL VALUE at RISK (CVaR) DALAM PEMBENTUKAN PORTOFOLIO BIVARIAT MENGGUNAKAN COPULA GUMBEL [PDF]
Jurnal Gaussian, 2020 One way to minimize risk in investing is to form of portfolio by combining several stocks.Value at Risk (VaR) is a method for estimating risk but has a weakness that is VaR is incoherent because it does not have the subadditivity. To overcome the weakness of VaR, Conditional Value at Risk (CVaR) can use. Stock data is generally volatile, so ARIMA-GARCH
Dina Rahma Prihatiningsih +2 more
openaire +1 more source
An empirical evaluation of Value-at-Risk: The case of the Belgrade Stock Exchange index - BELEX15 [PDF]
Industrija, 2012 The subject of the research is to test and analyze VaR (Value-at-Risk) methods of market risk management on the financial market of the Republic of Serbia.
Anđelić Goran B. +2 more
doaj
PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO
E-Jurnal Matematika, 2012 Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data.
WAYAN ARTHINI +2 more
doaj +1 more source
Improving Value-at-Risk prediction under model uncertainty
, 2020 Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach are ...
Peng, Shige +2 more
core +1 more source
Transformations in risk management of currency exchange in Lithuanian commercial banks
Technological and Economic Development of Economy, 2007 After the adoption of International Convergence of Capital Measurement and Capital Standards (widely known as Basel II requirements) in 2004 the risk management in commercial banks has changed dramatically. Lithuanian commercial banks are in transitional
Jonas Nedzvedskas, Povilas Aniūnas
doaj +1 more source
Tecnura, 2014 This paper presents a financial risk assessment model for the electrical-energy-sale process trough long-term bilateral contracts. The volatility exhibited by spot prices of electricity in Colombia constitutes one of the aspects of big influence in ...
Mónica Sánchez +2 more
doaj
, 2019 Value at Risk (VaR) forecasts can be produced from conditional autoregressive VaR models, estimated using quantile regression. Quantile modeling avoids a distributional assumption, and allows the dynamics of the quantiles to differ for each probability ...
James W. Taylor
semanticscholar +1 more source