Results 81 to 90 of about 60,954 (219)

Risk Analysis for Sustainability of Oil Palm Smallholdings

Jurnal Manajemen & Agribisnis, 2019
Oil palm plantation is well known as a profitable business. In general, oil palm smallholders have a higher income than farmers of other commodities. However, most smallholdings have land sizes that do not reach the economic scale. Together with the lack
Diana Chalil, Riantri Barus
doaj   +1 more source

An Analysis of Exchange Rate Risk Exposure Related to the Public Debt Portfolio of Tunisia: Beyond VaR Approach [PDF]

The aim of this study is to assess the exchange rate risk associated with the Tunisian public debt portfolio through Value-at-Risk (VaR) methodology.
Samia Omrane
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Extreme Value Theory and Value at Risk : Application to Oil Market [PDF]

Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity.
Abdelwahed Trabelsi, Vêlayoudom Marimoutou, Bechir Raggad   +2 more
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A note on subadditivity of value at risks (VaRs): A new connection to comonotonicity

Journal of Applied Probability
Abstract In this paper, we provide a new property of value at risk (VaR), which is a standard risk measure that is widely used in quantitative financial risk management. We show that the subadditivity of VaR for given loss random variables holds for any confidence level if and only if those are comonotonic.
Yuri Imamura, Takashi Kato
openaire   +2 more sources

Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading. [PDF]

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR ...
Diether Beuermann, Gonzalo Cortazar, Alejandro Bernales   +2 more
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VALUE-AT-RISK (VaR) FOR LQ – 45 COMPANIES

Journal of Applied Finance & Accounting, 2011
This paper offers a new measurement of risk, Value-at-Risk (VaR) for LQ-45 index in Indonesian Stock Exchange (ISX). Basic finance uses standard deviation in measuring and quantifying the risks. This paper uses VaR as a risk measure by using historical and analytical methods.
openaire   +2 more sources

Value-at-Risk Calculations with Time Varying Copulae [PDF]

Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate
Enzo Giacomini, Wolfgang Härdle
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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.
openaire   +2 more sources

Evaluation of Value-at-Risk (VaR) using the Gaussian Mixture Models

Research in Statistics
The 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, Dmitrij Celov, Remigijus Leipus   +2 more
doaj   +1 more source

VAR FOR QUADRATIC PORTFOLIO'S WITH GENERALIZED LAPLACE DISTRIBUTED RETURNS [PDF]

This paper is concerned with the e±cient analytical computation of Value-at-Risk (VaR) for portfolios of assets depending quadratically on a large number of joint risk factors that follows a multivariate Generalized Laplace Distribution.
Jules Sadefo-Kamdem, Raymond BRUMMELHUIS
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