stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor …

Value at risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999, Coherent measures of …

management. In this paper I focus on the calculation of Value-at-Risk (VaR) as a downside-risk measure for optimal asset …

[...]We begin by explaining the three most commoncategories of value-at-risk models—equally weighted movingaverage …, three from the second,and four from the third.By employing a simulation technique using thesetwelve value-at-risk approaches … risk measure.Although this article considers value-at-risk models twelve approaches we examine is superior on every count …

estimation of Value-at-Risk (VaR) of a portfolio and show its better performance over the RiskMetrics approach, a widely used …