THE CORRELATION BETWEEN THE MARKET RISK AND THE LIQUIDITY RISK IN THE ROMANIAN BANKING SECTOR [PDF]
Annals of the University of Oradea: Economic Science, 2010 A series of studies on liquidity management have appeared during the financial crisis, many of them comparing the funding liquidity with the market liquidity.
Zoicas-Ienciu Adrian, Trenca Ioan
doaj
Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency
Risks, 2016 Risk analysis and management currently have a strong presence in financial institutions, where high performance and energy efficiency are key requirements for acceleration systems, especially when it comes to intraday analysis.
Sascha Desmettre +3 more
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THE EVALUATION OF RISK REGARDING INSURANCE. STATISTICAL METHODS OF RISK DISSIPATION [PDF]
Annals of the University of Petrosani: Economics, 2010 Value at risk (VaR) is a summary statistic that quantifies the exposureof an asset or portfolio to market risk. Value at risk is now viewed by many as indispensableammunition in any serious corporate risk manager’s arsenal.
MIHAI ARISTOTEL UNGUREANU +3 more
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Using Entropy to Forecast Bitcoin’s Daily Conditional Value at Risk
Proceedings, 2019 Conditional value at risk (CVaR), or expected shortfall, is a risk measure for investments according to Rockafellar and Uryasev. Yamai and Yoshiba define CVaR as the conditional expectation of loss given that the loss is beyond the value at risk (VaR ...
Hellinton H. Takada +3 more
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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 has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia.
Sara Azher, Javed Iqbal, Ayesha Ijaz
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Financial risk assessment through Value at Risk in volatile markets.
reservedIl rischio di mercato viene definito come la probabilità di perdita finanziaria legata ad un corrispondente strumento finanziario. Tale tipologia di rischio è inevitabile per i soggetti che partecipano al mercato finanziario, tuttavia grazie ...
CECCHINATO, ELISA
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The ten commandments for optimizing value-at-risk and daily capital charges [PDF]
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates.
McAleer, M.J.
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Quantifying extreme market risk in the selected Western Balkan countries [PDF]
Industrija, 2018 The purpose of this paper is to investigate the performance of unconditional and conditional Value at Risk (VaR) and Expected Shortfall (ES) models based on EVT.
Radivojević Nikola +2 more
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RISK BALANCING STRATEGIES IN THE FLORIDA DAIRY INDUSTRY: AN APPLICATION OF CONDITIONAL VALUE AT RISK [PDF]
Legislation has prompted changes in milk price volatility. Milk price volatility impacts the producer's exposure to business risk which is compound by the firms financial risk. Financial risk is a function of the firms capital structure. In the short run
Zylstra, Michael J. +2 more
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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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