Results 21 to 30 of about 60,954 (219)
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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Value-at-risk (VAR) analysis of the UK banking stocks
Pressacademia, 2021 Purpose. COVID-19's spread and worldwide efforts to contain it are having a significant influence on UK economic activity. Investor concernsabout the coronavirus pandemic intensified, resulting in a decline in the value of listed shares and heightened market volatility. In thiscontext, it is interesting to look into the considerable banking stocks
ALSHAMALI, Nour +3 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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نموذج مقترح لقياس أخطارالأمن السيبرانى [PDF]
المجلة العلمية للدراسات والبحوث المالية والتجاريةيهدف هذا البحث إلى قياس الأخطار السيبرانية (أخطار الهجمات الإلكترونية)، وذلك من خلال نمذجة عدد الأخطار السيبرانية في الأخطار المختلفة عبر مؤسسات مختلفة من خلال استخدام توزيع بواسون وتوزيع ذي الحدين السالب حتى يمكننا التوصل إلى تحديد التوزيع الذى يصف ...
جيهان مسعد المعداوى +2 more
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Combined Stochastic Process and Value at Risk: A Real-World Information System Decision Case
Entropy, 2019 In this study, we used a combined stochastic process and value-at-risk (VaR) method to examine an electronic commerce expansion decision. By modeling uncertain benefits as a stochastic process, maximum losses of alternative decisions were quantified and ...
Liang-Chuan Wu +2 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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Risks, 2018 There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities.
Robert J. Powell +2 more
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Extreme tails behavior in Asian currency markets
Business Review, 2021 This study examines extreme tail behavior in Asian currency markets for the period of 2005-2018. Value-at-Risk (VaR) is estimated through Extreme Value Theory (EVT) approach to forecast losses incurred in a day in Asian currencies. Initially EVT approach
Sumaira Zia +2 more
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STOCK MARKET FLUCTUATIONS SIMULATION WITHIN LOWLY VOLATILE AND HIGHLY VOLATILE PERIODS
Advanced Engineering Research, 2013 The simulation of stock price fluctuations is analyzed. The statistical criteria application allows drawing the conclusion on the investigated models’ validity. Alongside with well-known Kolmogorov-Smirnov and Anderson-Darling criteria, comparatively new
Kirill Valeryevich Kirillov
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