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
core
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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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
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Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization [PDF]
We compare expected shortfall with value-at-risk (VaR) in three aspects: estimation errors, decomposition into risk factors, and optimization. We describe the advantages and the disadvantages of expected shortfall over VaR.
Yamai, Yasuhiro, Yoshiba, Toshinao
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GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies [PDF]
In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models.
Juan-Ángel Jiménez-Martín +3 more
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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
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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 +2 more
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Risk Comparison in Optimal Portfolios: A Study of Value at Risk (VaR) and Tail Value at Risk (TVaR)
Mathematical Journal of Modelling and ForecastingConsidering investment risk is something that investors must do before deciding to invest; measuring risk provides an opportunity for investors to get the desired return and minimize losses. This study compares Value at Risk (VaR) and Tail Value at Risk (TVaR) methodologies for measuring portfolio risk.
null Turnika Afdatul Rafni +1 more
openaire +1 more source
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
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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
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