Value At Risk (VAR) With Respect To Single Risk Factor [PDF]
Revista Română de Statistică, 2010 The paper reports on developing a value at risk (VaR) model with respect to a single risk factor. In the process, it shows how stochastic differential equation (SDE) and its variants can be considered as special cases of the VaR framework developed ...
Anass BAYAGA
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Sensitivity Analysis of Two-Step Multinomial Backtests for Evaluating Value-at-Risk [PDF]
تحقیقات مالی, 2022 Objective: Nowadays, the measurement of the risk of the marketplace has a significant effect on investments; however, the inadequate evaluation of this risk will cause a financial crisis and possible bankruptcy.
Mohamad Ali Rastegar, Mehdi Hemati
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Equity Portfolio Optimization Using Mean-CVaR Method Considering Symmetric and Asymmetric Autoregressive Conditional Heteroscedasticity [PDF]
تحقیقات مالی, 2020 Objective: Risk management is one of the most important areas of study in finance, and its vital role in the field has attracted the attention of managers and investors in in various sectors of the industry.
Reza Raei +2 more
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The volatility of bitcoin and the riskiness of the financial portfolio [PDF]
Bankarstvo, 2023 The main goal of this research is to evaluate the returns and risks of the following types of assets: Bitcoin, EUR Stoxx 50, gold, bonds: government bonds ICE Bof A 1-10 Year excluding Italy and Greece and the corporate bond index ICEB of A 1-10 Year AA.
Alihodžić Almir
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Fractal and Fractional, 2022 Risk management is very important for individual investors or companies. There are several ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a good tool to
Jinping Zhang, Keming Zhang
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Risk Analysis: Changing the Story with the Statistical Stochastic Process and VaR
Axioms, 2023 With the dramatically increased demand for data analysis, statistical techniques play a key role in modern society for both academics and practitioners.
Lianghong Wu
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A Multivariate Model to Quantify and Mitigate Cybersecurity Risk
Risks, 2020 The cost of cybersecurity incidents is large and growing. However, conventional methods for measuring loss and choosing mitigation strategies use simplifying assumptions and are often not supported by cyber attack data.
Mark Bentley +3 more
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Studying the effects of USING GARCH-EVT-COPULA METHOD TO ESTIMATE VALUE AT RISK OF PORTFOLIO [PDF]
Iranian Journal of Finance, 1999 Value at Risk (VaR) plays a central role in risk management. There are several approaches for the estimation of VaR, such as historical simulation, the variance-covariance and the Monte Carlo approaches. This work presents portfolio VaR using an approach
Ghodratollah Emamverdi
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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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