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19.641  Articles
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This paper compares the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting volatility for calculating value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock indice... see more

This study assesses the Value at Risk (VaR) and Expected Shortfall (ES) methods in gauging exchange rate risk in PT Telkom Indonesia Tbk, using historical Bank Indonesia closing rates USD/IDR and JPY/IDR from January 2022 - December 2022. Results demonstr... see more

Studi ini bertujuan untuk menganalisis dan membandingkan pengukuran risiko pasar antara ES dengan VaR, khususnya valuta asing. Penelitian ini menggunakan data historis nilai tukar USD/AMU dan menerapkan perhitungan ES dan VaR dengan menggunakan metode non... see more

Value at Risk (VaR) is a statistical technique used to manage and calculate the level of financial risk within a certain period of time and a certain level of confidence. VaR can be adjusted to liquidity risk which is called Liquidity adjusted Value at Ri... see more

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring mar... 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

Extreme value theory (EVT) has been widely applied in fields such as hydrology and insurance. It is a tool used to reflect on probabilities associated with extreme, and thus rare, events. EVT is useful in modeling the impact of crashes or situations of ex... see more

AbstractOrientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio.Research purpose: The main ... see more

The Indonesian Financial Services Authority (OJK) has instructed all insurance providers in Indonesia to apply a mandatory tariff for property insurance. The tariff has to be uniformly applied and the rule of set the maximum and minimum premium rates for ... see more

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