Results 221 to 230 of about 53,651 (258)

Value-At-Risk (Var) And Extreme Value Theory (Evt)

2003
Over the past decade or so the concept of Value-at-Risk (VaR) as a risk-management tool has steadily become more and more prominent in the asset-management community. As the concept has increased in sophistication over the years, it has developed from an academic exercise to a viable risk management tool.
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Value at Risk (VaR) Backtesting Techniques and P-Value Risk Decomposition Analysis

SSRN Electronic Journal, 2014
This paper presents a methodology to analyze the Value at Risk (VaR) backtesting probability values to detect the soundness of the VaR model, the integrity of the VaR input and output as well as providing information about the type of the risk that a subportfolio is exposed to in every trading day. The paper presets statistical methods to back test the
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???????????????? ???????????? ???? ???????????????????? ???????????????? ?????????????? ???? ???????????? ?????????????????? VaR(value-at-risk)

2010
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The Value at Risk (VAR) in the Banking System of Azerbaijan

SSRN Electronic Journal, 2012
Value 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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Value At Risk (Var) As A Market Risk Measure

Montenegrin Journal of Economics, 2010
Market 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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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 ...
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Value at Risk (VaR) in Real Options Analysis

SSRN Electronic Journal, 2003
Cash 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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Value-at-Risk (VaR)

2023
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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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Equivalent Risk Indicators: VaR, TCE, and Beyond

Risks, 2022
Krzysztof Ostaszewski, Olivier Le Courtois, Silvia Faroni   +2 more
exaly