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27  Articles
1 of 4 pages  |  10  records  |  more records»
Due to the Crisis of 2008, the Basel Committee accelerated the process for update the Accord and identified some weaknesses such as the inability of VaR to capture the tail risk. Subsequently, it was recommended to substitute VaR, a non-coherent measure o... see more

The purpose of this paper is to analyze backtesting methodologies of VaR, focusing on aspects as suitability to volatile markets and limited data set. We verify, from regulatory standpoint, tests to complement the Basel traffic light results, using simula... see more

Penelitian ini dirancang untuk membedakan hasil yang diperoleh dari penerapan Value at Risk (VaR) di Bank XYZ dengan menggunakan dua metodologi yang berbeda: pendekatan Variance-Covariance ditambah dengan model Delta Gamma, dan teknik Historical Simulatio... see more

Background: Stock investment has been gaining momentum in the past years due to the development of technology. During the pandemic lockdown, people have invested more. One the one hand, stock investment has high potential profitability, but on the other, ... see more

The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates considerin... see more

AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate copu... see more

 Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment speculations cause incredible ... see more

Risk measure using Conditional Value at Risk can be calculate if values that exceeds the p-quantile is known in VaR. The models used to accommodate characteristics of the stock portfolio in this research are EVT-GARCH-D-vine copula and EVT-GJR-D-vine copu... see more

Evaluating forecasts of risk measures, such as value–at–risk (VaR) and expected shortfall (ES), is an important process for financial institutions. Backtesting procedures were introduced to assess the efficiency of these forecasts. In this paper, we compa... see more

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