Despite its recent advent, value at risk (VaR) became the most widely usedtechnique for measuring future expected risk for both financial and non-financialinstitutions. VaR, the measure of the worst expected loss over a given horizon at a givenconfidence level, depends crucially on the...

Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional distributions for single and multi-period settings. These measures...

Verslo nuosavybės ekonomikos magistro baigiamojo darbo tema yra labai aktuali, kadangi šiandieniame pasaulyje lyderiaujančioms įmonėms nebeužtenka vien naudoti moderniausias technologijas ar turėti geriausią rinkodaros strategiją. Staigūs ir nenuspėjami valiutų kursų svyravimai net...

The scientific problem of the dissertation is search of adequacy of the trading portfolio risk management methods and models to the current economic, technological, and informational circumstances of financial institutions. The main features of science novelty characteristic to this research are...

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Value at Risk and the Expected Shortfall are two measurements of market risks for financial assets. Statistically, they are extreme quantiles of the distribution of financial log returns. Though financial log return data are usually both heteroscedastic and fatter-tailed, most of the existing...

Economics

Agricultural cooperatives tend to be riskier than investor-oriented firms, both in a business and financial sense. However, cooperative managers are often reluctant to actively manage risk. Although the “risk management irrelevance proposition” suggests that cooperative managers should be...

The first part of the dissertation concerns financial volatility models. Financial volatility has some stylized facts, such as excess kurtosis, volatility clustering and leverage effects. A good volatility model should be able to capture all these stylized facts. Among the volatility models,...