Results 171 to 180 of about 60,954 (219)
Cascading effects of geopolitical risk on environmental quality and public health in BRICS. [PDF]
Front Public HealthWen M +4 more
europepmc +1 more source
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Interpreting Value at Risk (VaR) forecasts
Economic Systems, 2008Abstract Value at Risk (VaR) forecasts have been increasingly accepted globally by both risk managers and regulators as a tool to identify and control exposure to financial market risk. However, modern portfolios are characterized by a constantly changing composition of security holdings that reflect portfolio managers’ strategies, expected prices ...
Allan W. Gregory, Jonathan J. Reeves
openaire +1 more source
2010
In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss
Moorad Choudhry +4 more
openaire +1 more source
In this chapter we review the main market risk measurement tool used in banking, known as value-at-risk (VaR). The review looks at the three main methodologies used to calculate VaR, as well as some of the key assumptions used in the calculations, including those on the normal distribution of returns, volatility levels and correlations. We also discuss
Moorad Choudhry +4 more
openaire +1 more source
Portfolio risk measurement based on value at risk (VaR)
AIP Conference Proceedings, 2018Generally, the risk level of an investment is directly correlated with the returns to be earned by investors in the future. In current situation, it is difficult for investors, shareholders and financial managers to determine the total loss of their asset portfolio because standard deviation is insufficient to describe the actual total loss. Therefore,
Farah Azaliney Mohd Amin +3 more
openaire +1 more source
VaR (Value at Risk) Model [PDF]
Romanian Statistical Review Supplement, 2012 The VaR model represents a significant progress in risk analysis, among the improvements it brings we can outline the attempt to measure risk itself in terms of an eventual loss, instead of focusing on gain-based approach.
Vergil VOINEAGU, Danut CULETU
openaire
BANKPEDIA REVIEW, 2013
The value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given probability confidence (generally equal to 95% or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets.
openaire +1 more source
The value at risk (VaR) measures the risk of loss associated to financial assets. For a given time period (normally ranging from 1 to 10 days), and with a given probability confidence (generally equal to 95% or 99%); this measure represents the maximum loss the investor can suffer when holding financial assets.
openaire +1 more source
Artifactual unit root behavior of Value at risk (VaR)
Statistics & Probability Letters, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chan, Ngai Hang, Sit, Tony
openaire +2 more sources