Results 11 to 20 of about 50,970 (142)
An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange [PDF]
Ekonomski Anali, 2009 This paper presents market risk evaluation for a portfolio consisting of shares that are continuously traded on the Belgrade Stock Exchange, by applying the Value-at-Risk model - the analytical method.
Obadović Milica D. +1 more
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Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception [PDF]
Amfiteatru Economic, 2020 Inclusion in the European Sustainability Index is a feature of companies that are perceived as “sustainable” in general. The objective of the research in this article is to analyse the perception of investors by investigating the extent to which these ...
Iulia Lupu +3 more
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Application of Monte Carlo simulation methods in risk management
Journal of Business Economics and Management, 2007 The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0 introduces new modification of Monte Carlo algorithm aimed at fast and effective calculation of financial organization's ...
Alexander Suhobokov
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, 2016 In this work we focus on calculating the value at risk (VaR) for all types of assets and combinations of them (portfolios). We have studied the analytical methods for cumputing the VaR directly, but since this method is not always feassible (e.g. for certain bonds and options), we have also atempted VaR calculation through simulations for this type of ...
González Pons, Anna +1 more
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Risiko Pasar Saham Perbankan Syariah dengan Metode Standar Deviasi Markowitz dan Value At Risk (Var)
Jurnal Manajemen, 2021 This study describes the measurement of market risk in Islamic banking by calculating the Markowitz standard deviation and the market risk Value at Risk (VaR). The data used in this study are Islamic bank stocks in the Indonesia Stock Exchange, namely in
Permana Sari Anita +1 more
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Determining investment risk in an exchange portfolio by using Value at Risk (VaR) method [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2007 In optimizing an investment portfolio, the aim is to determine optimal value of per security, where prepares the minimum risk and the maximum return. One of the methods to measure risk of portfolio is Value at Risk (VaR).
Jamshid Salehi Sadaghiani
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Risks, 2018 There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities.
Robert J. Powell +2 more
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Combined Stochastic Process and Value at Risk: A Real-World Information System Decision Case
Entropy, 2019 In this study, we used a combined stochastic process and value-at-risk (VaR) method to examine an electronic commerce expansion decision. By modeling uncertain benefits as a stochastic process, maximum losses of alternative decisions were quantified and ...
Liang-Chuan Wu +2 more
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Extreme tails behavior in Asian currency markets
Business Review, 2021 This study examines extreme tail behavior in Asian currency markets for the period of 2005-2018. Value-at-Risk (VaR) is estimated through Extreme Value Theory (EVT) approach to forecast losses incurred in a day in Asian currencies. Initially EVT approach
Sumaira Zia +2 more
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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 +3 more sources