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Estimating risk on the capital market with VaR method

Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 1, pp. 165-175

The two basic questions that every investor tries to answer before investment are questions about predicting return and risk. Risk and return are generally considered two positively correlated sizes, during the growth of risk it is expected increase of return to compensate the higher risk. The...

Persistent link: https://www.econbiz.de/10011299237

Enhancing portfolio risk management : a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking

Shokri, Aris; Kythreotis, Alexios - In: International journal of business and emerging markets … 16 (2024) 3, pp. 411-428

Persistent link: https://www.econbiz.de/10015057498

Estimating the distribution of total default losses on the Spanish financial system

García-Céspedes, Rubén; Moreno, Manuel - In: Journal of banking & finance 49 (2014), pp. 242-261

Persistent link: https://www.econbiz.de/10010508036

Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets

Karagiannidis, Iordanis; Wilford, D. S. - In: Review of financial economics : RFE 25 (2015), pp. 19-26

Persistent link: https://www.econbiz.de/10011498207

An evaluation and comparison of Value at Risk and Expected Shortfall

Burdorf, Tom; Van Vuuren, Gary - In: Investment management and financial innovations 15 (2018) 4, pp. 17-34

Persistent link: https://www.econbiz.de/10012055643

Hands-On Value-at-Risk and expected shortfall : a practical primer

Auer, Martin - 2018

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...

Persistent link: https://www.econbiz.de/10013341689