Results 1 to 10 of about 60,954 (219)
Some of the next articles are maybe not open access.
How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR
Quantitative Finance, 2019exaly
A Study On Value At Risk (VAR) Models In Measuring Market Risk
International Journal of Research Publication and ReviewsG. Sathvika +2 more
openaire +1 more source
Mercados y Negocios, 2022 The technique (VaR) is a statistical measure of the risk. It is associated with financial risks related to the high volatility in prices, interest rates, or exchange rates.
Juan Gaytán Cortés
doaj +4 more sources
Comparison of Value at Risk (VaR) Multivariate Forecast Models. [PDF]
Comput Econ, 2022 We investigate the performance of VaR (Value at Risk) forecasts, considering different multivariate models: HS (Historical Simulation), DCC-GARCH (Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity) with normal and Student's t distribution, GO-GARCH (Generalized Orthogonal-Generalized Autoregressive Conditional ...
Müller FM, Righi MB, Righi MB.
europepmc +3 more sources
The concept of value at risk (VaR) and risk regulatory in Montenegro
Acta Economica, 2014 The concept of value at risk (Value at Risk - VaR) is a measure that is increasingly used for assessing the level of exposure of financial markets’ participants.
Јулија Церовић
doaj +5 more sources