Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and risk capital allocation. However, existing VaR estimation approaches fail to accurately...

This study estimates value-at-risk (VaR) to measure foreign exchange risk in Indonesia's banking industry using quantile regression (QR) approach. Four large banks whose capital and assets were the biggest were observed, and their selection was based on their market share in the industry. To...