Results 81 to 90 of about 424,806 (227)
A value at risk analysis of credit default swaps [PDF]
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity.
Raunig, Burkhard, Scheicher, Martin
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On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall [PDF]
Value-at-risk (VaR) has become a standard measure used in financial risk management due to its conceptual simplicity, computational facility, and ready applicability. However, many authors claim that VaR has several conceptual problems.
Yamai, Yasuhiro, Yoshiba, Toshinao
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Intra-Daily FX Optimal Portfolio Allocation [PDF]
We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return subject to a Value-at-Risk (VaR) constraint.
Erick, Rengifo +2 more
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Evaluation of Value-at-Risk (VaR) using the Gaussian Mixture Models
Research in StatisticsThe normality of the distribution of stock returns is one of the basic assumptions in financial mathematics. Empirical studies, however, undermine the validity of this assumption.
Indrė Morkūnaitė +2 more
doaj +1 more source
Deposit Mudarabah Investment Risk Analysis Method Value at Risk (VaR)
International Journal of Economics, Business and Accounting Research (IJEBAR), 2020 Abstract The purpose of this study is to understand the risk and return on net return on mudharabah deposits in Islamic banks using the Value at Risk (VaR) approach. The objects in this study are quarterly financial statements of Bank Syariah Mandiri, Bank BRI Syariah, and Muamalat Bank for three years, 2015-2017. The VaR analysis results ...
openaire +2 more sources
Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology [PDF]
Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses.
Cayton, Peter Julian A., Mapa, Dennis S.
core +1 more source
The Economic Value of Forecasts in Reducing Extreme Total Losses
Meteorological ApplicationsA major aim of weather and other types of environmental forecasting is to provide early warning of extreme hazards that can then be used to take preventative actions to reduce loss.
David B. Stephenson
doaj +1 more source
Sensitivity Analysis of Values at Risk [PDF]
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expressions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify ...
Gouriéroux, Christian +2 more
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Application of Value at Risk Model in Technological Investment Portfolio Management - A Case in Iranian Petroleum Industry [PDF]
بهبود مدیریت, 2011 Technology portfolio is a rather recent and popular approach in the literature of technology management. The problem of technology portfolio management is to find the appropriate distribution of capital & resources among a set of technologies, provides ...
Sayed Farhang Fasihi +2 more
doaj
Industry Market Value at Risk in Australia [PDF]
Value at Risk (VaR) is an important issue for banks since its adoption as a primary risk metric in the Basel Accords and the requirement that it is calculated on a daily basis.
David E. Allen, Robert Powell
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