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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Application of Monte Carlo simulation methods in risk management
Journal of Business Economics and Management, 2007 The paper deals with Monte Carlo simulation method and its application in Risk Management. The author with the help of MATLAB 7.0 introduces new modification of Monte Carlo algorithm aimed at fast and effective calculation of financial organization's ...
Alexander Suhobokov
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Risiko Pasar Saham Perbankan Syariah dengan Metode Standar Deviasi Markowitz dan Value At Risk (Var)
Jurnal Manajemen, 2021 This study describes the measurement of market risk in Islamic banking by calculating the Markowitz standard deviation and the market risk Value at Risk (VaR). The data used in this study are Islamic bank stocks in the Indonesia Stock Exchange, namely in
Permana Sari Anita +1 more
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, 2016 In this work we focus on calculating the value at risk (VaR) for all types of assets and combinations of them (portfolios). We have studied the analytical methods for cumputing the VaR directly, but since this method is not always feassible (e.g. for certain bonds and options), we have also atempted VaR calculation through simulations for this type of ...
González Pons, Anna +1 more
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What is the best risk measure in practice? A comparison of standard measures [PDF]
, 2015 Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting.
Emmer, Susanne +2 more
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Determining investment risk in an exchange portfolio by using Value at Risk (VaR) method [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2007 In optimizing an investment portfolio, the aim is to determine optimal value of per security, where prepares the minimum risk and the maximum return. One of the methods to measure risk of portfolio is Value at Risk (VaR).
Jamshid Salehi Sadaghiani
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