Results 61 to 70 of about 60,954 (219)

Extreme Value Theory and Gold Price Extremes, 1975–2025: Long-Term Evidence on Value-at-Risk and Expected Shortfall

Commodities
We analyze extreme gold price movements between 1975 and 2025 using Extreme Value Theory (EVT). Using both the Block-Maxima and Peaks-over-Threshold approaches on a daily return basis, we estimate Value-at-Risk (VaR) and Expected Shortfall (ES) for the ...
Michael Bloss, Dietmar Ernst, Leander Geisinger   +2 more
doaj   +1 more source

Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress [PDF]

In this paper, we compare value-at-risk (VaR) and expected shortfall under market stress. Assuming that the multivariate extreme value distribution represents asset returns under market stress, we simulate asset returns with this distribution. With these
Yamai, Yasuhiro, Yoshiba, Toshinao
core  

Measuring financial risk : comparison of alternative procedures to estimate VaR and ES [PDF]

We review several procedures for estimating and backtesting two of the most important measures of risk, the Value at Risk (VaR) and the Expected Shortfall (ES).
Esther Ruiz, Maria Rosa Nieto
core  

PENGUKURAN VALUE AT RISK PADA ASET TUNGGAL DAN PORTOFOLIO DENGAN SIMULASI MONTE CARLO

Media Statistika, 2009
Value at Risk (VaR) is the established standard for measuring market risk. VaR measures the worst expected loss under normal market conditions over a specific time interval at a given confidence level. A VaR statistic has three components: a time period,
Di Asih I Maruddani, Ari Purbowati
doaj   +1 more source

Risk Measurement-Value at Risk (VaR) Versus Conditional Value at Risk (CVaR): A Teaching Note

Journal of Accounting and Finance, 2018
Financial history has demonstrated that desirable and undesirable outcomes are always possible. Participants in the industry have made substantial progress in quantifying and mitigating many sources of risks. One more recent indicator is value at risk (VaR). However, this technique remains controversial, despite being an industry standard.
Cao Minh Duc, Alex Faseruk, Ashrafee Hossain   +2 more
openaire   +2 more sources

Value at risk models in finance [PDF]

The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws.
Manganelli, Simone, Engle, Robert F.
core  

Stochastic Value-at-Risk-Based Optimization and Independent Dominating Sets for Wireless Network Design

IEEE Access
This paper studies new deterministic optimization models for wireless network design based on the Independent Dominating Set (IDS) structure. We first present deterministic formulations of the IDS and then extend them with risk-aware objectives using ...
Pablo Adasme
doaj   +1 more source

PERHITUNGAN VALUE AT RISK DENGAN PENDUGA VOLATILITAS STOKASTIK HESTON

E-Jurnal Matematika, 2018
Value at risk is a method that measures financial risk of an security or portfolio. The aims of the research is to find out the value at risk of an exchange rate using the Heston stochastic volatility model. Heston model is a strochastic volatility model
DESAK PUTU DEVI DAMIYANTI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI   +2 more
doaj   +1 more source

Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory [PDF]

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions.
Julia Schaumburg
core  

Systemic risk in Taiwan stock market

Journal of Business Economics and Management, 2012
Recent financial crises resulted from systemic risk caused by idiosyncratic distress. In this research, taking Taiwan stock market as an example and collecting data from 2000 to 2010 which contained the 2001 dot-com bubble and the 2007–2009 financial ...
Her-Jiun Sheu, Chien-Ling Cheng
doaj   +1 more source