Results 31 to 40 of about 416,556 (302)
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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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
doaj +1 more source
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
doaj +1 more source
The concept of value at risk (VaR) and risk regulatory in Montenegro
Acta Economica, 2014 The concept of value at risk (Value at Risk - VaR) is a measure that is increasingly used for assessing the level of exposure of financial markets’ participants.
Јулија Церовић
doaj +3 more sources
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
openaire +2 more sources
VaR Methodology Application for Banking Currency Portfolios [PDF]
Theoretical and Applied Economics, 2007 VaR has become the standard measure that financial analysts use to quantify market risk. VaR measures can have many applications, such as in risk management, to evaluate the performance of risk takers and for regulatory requirements, and hence it is very
Daniel Armeanu, Florentina-Olivia Balu
doaj +1 more source
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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ANALYSIS OF THE MOST COMMON CALCULATION METHODS “VALUE AT RISK, VAR”
Фінансово-кредитна діяльність: проблеми теорії та практики, 2022 The Regulation of the National Bank of Ukraine on Risk Management in Ukrainian Banks stipulates that this Regulation obliges banks to use the VaR methodology to assess market risk.
Олена Pavliuk, Tetiana Melnyk
doaj +1 more source
Pediatric Blood &Cancer, EarlyView.ABSTRACT Pediatric gastroenteropancreatic neuroendocrine neoplasms (GEP‐NENs) are extremely rare and clinically heterogeneous. Management has largely been extrapolated from adult practice. This European Standard Clinical Practice Guideline (ESCP), developed by the EXPeRT network in collaboration with adult NEN experts, provides (adult) evidence ...
Michaela Kuhlen +23 more
wiley +1 more source
On the coherence of Expected Shortfall
, 2001 Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to continuous loss
Acerbi, Carlo, Tasche, Dirk
core +4 more sources