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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 Forecasting
Considering 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, null Dina Agustina   +1 more
openaire   +1 more source

Forecasting Value at Risk in Emerging Arab Stock Markets [PDF]

The economic and political instability of most of the Arab countries may lead to the assumption that Arab stock markets are riskier and less predictable than stock markets in developed countries.
C. Guermat, K. Hadri, C. C. Kucukozmen
core  

The Economic Value of Forecasts in Reducing Extreme Total Losses

Meteorological Applications
A 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

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, Mirmehdi Seyed Esfahani, Hamid Davoudpour   +2 more
doaj  

Central bank´s value at risk and financial crises: An application to the 2001 Argentine crisis [PDF]

Blejer and Schumacher (1999) were the first to suggest that Central Bank’s Value at Risk (VaR), a widely used composite measure of potential portfolio losses in the corporate sector, could be used as an early warning indicator of financial crises.
Diego Nocetti
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ESTIMATION OF VALUE AT RISK FOR GENERAL INSURANCE COMPANY STOCKS USING THE GARCH MODEL

Barekeng
Investment plays a crucial role in supporting economic development by allocating funds to generate future profits. Among various investment options, stock investment is widely popular.
Edwin Setiawan Nugraha, Agna Olivia, Fauziah Nur Fahirah Sudding, Karunia Eka Lestari   +3 more
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 ...
Scheicher, Martin, Raunig, Burkhard
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Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence

Revista Contabilidade & Finanças
This article considers range-based volatility modeling for identifying and forecasting conditional volatility models based on returns. It suggests the inclusion of range measuring, defined as the difference between the maximum and minimum price of an ...
Leandro dos Santos Maciel, Rosangela Ballini   +1 more
doaj   +1 more source

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

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.
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The Sign RCA Models: Comparing Predictive Accuracy of VaR Measures [PDF]

Evaluating Value at Risk (VaR) methods of predictive accuracy in an objective and effective framework is important for both efficient capital allocation and loss prediction.
Joanna Górka
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