Results 11 to 20 of about 416,556 (302)
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
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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
VALUE-AT-RISK (VaR) FOR LQ – 45 COMPANIES [PDF]
Journal of Applied Finance & Accounting, 2011 This paper offers a new measurement of risk, Value-at-Risk (VaR) for LQ-45 index in Indonesian Stock Exchange (ISX). Basic finance uses standard deviation in measuring and quantifying the risks. This paper uses VaR as a risk measure by using historical and analytical methods.
Handika, R. (Rangga)
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LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS [PDF]
, 2004 Value-at-risk (VaR) is increasingly being applied to problems in agriculture, especially valuation of crop insurance and agricultural lending risk exposure. VaR conveys the probability that losses exceeding a threshold will likely occur within a specified timeframe. However, it does not provide the expected value of losses, should they happen.
Gustafson, Cole R., Gustafson, Cole R.
core +4 more sources
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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Applying stress-testing on value at risk (VaR) methodologies [PDF]
, 2004 In recent years, Value at Risk (VaR) methodologies, i. e., Parametric VaR, Historical Simulation and the Monte Carlo Simulation have experienced spectacular growth within the new regulatory framework which is Basle II. Moreover, complementary analyses such a Stress-testing and Back-testing have also demonstrated their usefulness for financial risk ...
Feria Domínguez, José Manuel +1 more
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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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