Results 211 to 220 of about 53,651 (258)

Portfolio risk measurement based on value at risk (VaR)

AIP Conference Proceedings, 2018
Generally, 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, Siti Fatimah Yahya, Siti Ainazatul Shazlin Ibrahim, Mohammad Shafiq Mohammad Kamari   +3 more
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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
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Artifactual unit root behavior of Value at risk (VaR)

Statistics & Probability Letters, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chan, Ngai Hang, Sit, Tony
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Introduction to Var (Value-At-Risk)

1999
Modern financial theory is based on several important principles, two of which are no-arbitrage and risk aversion. The single major source of profit is risk. The expected return depends heavily on the level of risk of an investment. Although the idea of risk seems to be intuitively clear, it is difficult to formalize it.
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Range-based models in estimating value-at-risk (VaR) [PDF]

Philippine Review of Economics, 2008
This paper introduces new methods of estimating Value-at-Risk (VaR) using range-based GARCH (general autoregressive conditional heteroskedasticity) models. These models, which could be based on either the Parkinson range or the Garman-Klass range, are applied to ten stock market indices of selected countries in the Asia-Pacific region.
Mapa, Dennis, Beronilla, Nikkin
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Conditional Expectile: An Alternative to Value at Risk (VaR)

SSRN Electronic Journal, 2021
Various risk measures have been reviewed against the criteria commonly accepted by financial researchers and practitioners: coherence, elicitability, comonotonic additivity, and intuitiveness. It follows that the only risk measure that is both coherent and elicitable is an Expectile based risk measure. But unlike the VaR measure, the Expectile does not
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Debt Risk Research on PPP Model Based on VAR (Value at Risk) Model

2021
The report of the 19th national congress points out that from now on to 2020 is the decisive period for building a moderately prosperous society in an all-round way, while PPP project investment involves 19 industries, such as transportation, comprehensive development of cities and towns, education, health care, pension, etc., providing more ...
Guangli Yang, Chao Wang, Wenmin Kuang
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Value-at-Risk dynamics: a copula-VAR approach

The European Journal of Finance, 2019
In financial research and among risk management practitioners the estimation of a correct measure of the Value-at-Risk still proves interesting.
Giovanni de Luca, Giorgia Rivieccio, Stefania Corsaro   +2 more
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On the Cognitive Surprise in Risk Management: An Analysis of the Value-at-Risk (VaR) Historical

2015
Financial markets are environments in which a variety of products are negotiated by heterogeneous agents. In such environments, agents need to cope with uncertainty and with different kinds of risks. In trying to assess the risks they face, agents use a myriad of different approaches to somewhat quantify the occurrence of risks and events that may have
Davi Baccan, Elton Sbruzzi, Luís Macedo
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LIMITATIONS OF VALUE-AT-RISK (VAR) FOR BUDGET ANALYSIS

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.
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