Evaluation of Value-at-Risk (VaR) using the Gaussian Mixture Models
Research in StatisticsThe normality of the distribution of stock returns is one of the basic assumptions in financial mathematics. Empirical studies, however, undermine the validity of this assumption.
Indrė Morkūnaitė +2 more
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The Economic Value of Forecasts in Reducing Extreme Total Losses
Meteorological ApplicationsA major aim of weather and other types of environmental forecasting is to provide early warning of extreme hazards that can then be used to take preventative actions to reduce loss.
David B. Stephenson
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Risk Comparison in Optimal Portfolios: A Study of Value at Risk (VaR) and Tail Value at Risk (TVaR)
Mathematical Journal of Modelling and ForecastingConsidering investment risk is something that investors must do before deciding to invest; measuring risk provides an opportunity for investors to get the desired return and minimize losses. This study compares Value at Risk (VaR) and Tail Value at Risk (TVaR) methodologies for measuring portfolio risk.
null Turnika Afdatul Rafni +1 more
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Application of Value at Risk Model in Technological Investment Portfolio Management - A Case in Iranian Petroleum Industry [PDF]
بهبود مدیریت, 2011 Technology portfolio is a rather recent and popular approach in the literature of technology management. The problem of technology portfolio management is to find the appropriate distribution of capital & resources among a set of technologies, provides ...
Sayed Farhang Fasihi +2 more
doaj
Value-at-risk modeling and forecasting with range-based volatility models: empirical evidence
Revista Contabilidade & FinançasThis article considers range-based volatility modeling for identifying and forecasting conditional volatility models based on returns. It suggests the inclusion of range measuring, defined as the difference between the maximum and minimum price of an ...
Leandro dos Santos Maciel +1 more
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ESTIMATION OF VALUE AT RISK FOR GENERAL INSURANCE COMPANY STOCKS USING THE GARCH MODEL
BarekengInvestment plays a crucial role in supporting economic development by allocating funds to generate future profits. Among various investment options, stock investment is widely popular.
Edwin Setiawan Nugraha +3 more
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Managing market risk with VaR (Value At Risk)
Management : Journal of Contemporary Management Issues, 2013 Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. Value at Risk has become the standard measure that financial analysts use to quantify market risk. For estimating risk, the issue is that different ways to estimate volatility can lead to very different VaR calculations.
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Research on aging-friendly design risk assessment model based on non-parametric estimation. [PDF]
Sci RepLi H, Mao M, Yin YQ.
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Mental health and macroeconomics: economic and social determinants that explain suicide in Ecuador. [PDF]
Front Public HealthArgothy A +3 more
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Effect of Self-Assembling Peptide on White Spot Lesions in Orthodontic Patients: A Systematic Review and Meta-Analysis. [PDF]
Clin Exp Dent ResShakir S +9 more
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