The study of the BRVM market risk using the VaR method is a determining factor in assessing the performance of our equity portfolio composed of the BRVM composite index and the BRVM10 index. It has enabled us, with the help of Basel regulations, to use backtesting to determine the minimum amount of capital that an investor must hold per day to protect against risk. The kupiec test enables us to determine the reliability of VaR calculated at different confidence levels. The result of our study confirms, using the extreme VaR method, the robustness of our threshold-based portfolio risk management approach. It also confirms the problem of market attractiveness during times of financial crisis
Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. V...
This paper presents the first methodological proposal of estimation of the ΛVaR . Our approach is dy...
This paper is an introduction to the measurement of market risk in financial markets, with examples ...
The main objective of this study is to determine the adequacy of the measurement of market risks of ...
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutio...
This study analyzes the application of Value at Risk (VaR) in estimating the risk of investment in b...
In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currentl...
This paper uses closing prices of the BRICS (Brazil, Russia, India, China, and South Africa) financi...
Value at Risk (VaR) is a risk measurement technique, that measures the risk associated with a portfo...
This dissertation undertakes a comprehensive framework of the new risk management tool known as Valu...
In a risky financial environment, investors gradually realise the danger of potential risk and the i...
The management of market risk is an essential determinant of the stability of a financial institutio...
Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the mos...
This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a lar...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. V...
This paper presents the first methodological proposal of estimation of the ΛVaR . Our approach is dy...
This paper is an introduction to the measurement of market risk in financial markets, with examples ...
The main objective of this study is to determine the adequacy of the measurement of market risks of ...
The adoption of Basel II standards by the Bangko Sentral ng Pilipinas initiates financial institutio...
This study analyzes the application of Value at Risk (VaR) in estimating the risk of investment in b...
In this article we discuss one of the modern risk measuring techniques Value-at-Risk (VaR). Currentl...
This paper uses closing prices of the BRICS (Brazil, Russia, India, China, and South Africa) financi...
Value at Risk (VaR) is a risk measurement technique, that measures the risk associated with a portfo...
This dissertation undertakes a comprehensive framework of the new risk management tool known as Valu...
In a risky financial environment, investors gradually realise the danger of potential risk and the i...
The management of market risk is an essential determinant of the stability of a financial institutio...
Risk management methods in finance have put a lot of weight on the Value-at-Risk, making it the mos...
This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a lar...
Value-at-risk (VaR) is a measure of market risk that has been widely adopted since the mid-1990s for...
Market risk estimates the uncertainty of future earnings, due to the changes in market conditions. V...
This paper presents the first methodological proposal of estimation of the ΛVaR . Our approach is dy...
This paper is an introduction to the measurement of market risk in financial markets, with examples ...