Results 71 to 80 of about 424,806 (227)

Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models [PDF]

The aim of this research paper is to evaluate hedge fund returns Value-at-Risk by using GARCH models. To perform the empirical analysis, one uses the HFRX daily performance hedge fund strategy subindexes and spans the period March 2003 – March 2008.
Sabrina Khanniche
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Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]

, 2008
We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES). The alternative estimators differ in the way the specify and estimate the conditional mean
Nieto, María Rosa, Ruiz, Esther
core   +1 more source

Risk Management of Precious Metals [PDF]

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside
Farooq Malik, Michael McAleer, Shawkat Hammoudeh   +2 more
core   +3 more sources

Risk management in investment funds – methods and effectiveness in 2007-2024

Nowoczesne Systemy Zarządzania
Research objectives and hypothesis/research questions The study aims to determine the impact of risk management on the long-term quality of funds and to identify the role of technological innovations in this process.
Karol Nowicki
doaj   +1 more source

A value at risk analysis of cedit default swaps [PDF]

We investigate the risk of holding credit default swaps(CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity using a sample of CDS – stock price pairs for 86 actively ...
Raunig, Burkhard, Scheicher, Martin
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THE STEERING TOOL OF FINANCIAL INSTITUTIONS: CREDIT VAR (VALUE AT RISK) [PDF]

Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie, 2015
In order to determine the economic capital, in terms of internal management or of application of regulations, financial institutions need to model the probability of future losses on a loan portfolio.
BĂRBULESCU MARINELA , HAGIU ALINA , VASILICĂ RADU   +2 more
doaj  

Value-at-Risk Calculations with Time Varying Copulae [PDF]

Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate
Enzo Giacomini, Wolfgang Härdle
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On the coherence of Expected Shortfall

, 2001
Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss
Acerbi, Carlo, Tasche, Dirk
core   +4 more sources

Risk Analysis for Sustainability of Oil Palm Smallholdings

Jurnal Manajemen & Agribisnis, 2019
Oil palm plantation is well known as a profitable business. In general, oil palm smallholders have a higher income than farmers of other commodities. However, most smallholdings have land sizes that do not reach the economic scale. Together with the lack
Diana Chalil, Riantri Barus
doaj   +1 more source

Comparative Analyses of Expected Shortfall and Value-at-Risk (2): Expected Utility Maximization and Tail Risk [PDF]

We compare expected shortfall and value-at-risk (VaR) in terms of consistency with expected utility maximization and elimination of tail risk. We use the concept of stochastic dominance in studying these two aspects of risk measures.
Yamai, Yasuhiro, Yoshiba, Toshinao
core