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Value At Risk (Var) As A Market Risk Measure
Montenegrin Journal of Economics, 2010Market risk is the potential loss on investment due to fluctuations in the market value of traded position that cannot be hedged or diversified away. Value at Risk (VAR) is a standard measure of market risk, adopted by all financial market participants. Its use in risk management is a legal and regulatory requirement.
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Value at Risk (VaR) in Real Options Analysis
SSRN Electronic Journal, 2003Cash flow from operations can be controlled using real options. In this normative paper, we derive numerically in a univariate discrete time model, extension of (Kulatilaka, 1988), the expanded NPV of an industrial investment and, simultaneously, state variable thresholds for the whole life of the project to optimally exercise real options.
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2010
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The Value at Risk (VAR) in the Banking System of Azerbaijan
SSRN Electronic Journal, 2012Value at risk was calculated on the GAP between loans and deposits of the banks of the Azerbaijan banking system with 95% of confidence level and holding periods for 10 days. The average interest rates of loans were taken as risk factor in calculating of VAR.
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Risk Forecasting Using Value at Risk (VaR)
This research analyses weekly stock data gathered from Google Finance over the previous five years to use the Value at Risk (VaR) approach to evaluate the risk exposure of four companies: Apple, Coca-Cola, Amazon, and McDonald's. To visualize the behavior and patterns of these companies' stocks, two crucial graphs were first created: stock price vs ...openaire +1 more source
CURRENCY RISK ASSESSMENT USING VALUE-AT-RISK (VAR) METHODOLOGY [PDF]
, 2020 The measurement of currency risk through the VaR metrics is highlighted in this research work. The main VaR methods – relative, Historical Stimulation and Monte Karlo Stimulation are briefly presented. A study is conducted with real data on a specific currency pair – GBP/USD.
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The diabolical sovereigns/banks risk loop: A VAR quantile design
Journal of Economic Asymmetries, 2020Matteo Foglia
exaly