Results 51 to 60 of about 424,806 (227)
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
doaj +1 more source
Barekeng, 2023 The Value at Risk (VaR) method refers to a statistical risk measurement tool used to determine the maximum loss of an investment, while the distribution that must be met is the normal distribution.
Alimatun Najiha +2 more
doaj +1 more source
, 2020 This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and backtesting ...
Ngozi G. Emenogu +2 more
semanticscholar +1 more source
Predictive ability of Value-at-Risk methods: evidence from the Karachi Stock Exchange-100 Index [PDF]
Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR is popular among researchers, practitioners and regulators of financial institutions. VaR has been extensively used for to measure systematic risk
Azher, Sara, Ijza, Ayesha, Iqbal, Javed
core +4 more sources
Estimasi Value At Risk (VaR) Portofolio Saham yang Tergabung dalam Indeks LQ45 Periode Agustus 2014 Sampai Januari 2015 Menggunakan Metode Copula GARCH [PDF]
, 2015 Investasi merupakan salah satu cara alternatif yang dilakukan dalam meningkatkan aset di masa mendatang. Salah satu financial asset yang banyak diminati adalah investasi dalam bentuk saham.
Haryono, H. (Haryono) +1 more
core
Improving Risk Factor of Market Risk Capital Requirement in Solvency Model of Iranian Insurance Industry [PDF]
مدلسازی اقتصادسنجی, 2018 The main purpose of this paper is to present a more efficient method than the 69th act and previous studies, for determining risk factor of Market Risk Capital Requirement.
Nader Mazloumi, Amir Safari, Reza Jafari
doaj +1 more source
RisksThe Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of potential investment losses. Predominantly employed within financial sectors, it aids in adhering to regulatory mandates and in devising ...
Danai Likitratcharoen +1 more
doaj +1 more source
Capital allocation for credit portfolios with kernel estimators [PDF]
, 2008 Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution.
Dev A +15 more
core +2 more sources
Aggregate Risk Model and Risk Measure-Based Risk Allocation
InPrime, 2020 In actuarial modeling, aggregate risk is known as more attractive rather than individual risk. It has, however, usual difficulty in finding (the exact form of) joint probability distribution.
Khreshna Syuhada
doaj +1 more source
CommoditiesWe analyze extreme gold price movements between 1975 and 2025 using Extreme Value Theory (EVT). Using both the Block-Maxima and Peaks-over-Threshold approaches on a daily return basis, we estimate Value-at-Risk (VaR) and Expected Shortfall (ES) for the ...
Michael Bloss +2 more
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