Selection of Value-at-Risk models

2003 ◽  
Vol 22 (4) ◽  
pp. 337-358 ◽  
Author(s):  
Mandira Sarma ◽  
Susan Thomas ◽  
Ajay Shah
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models ◽  
Selection Of

Selection of Value at Risk Models for Energy Commodities

2018 ◽  
Vol 74 ◽  
pp. 628-643 ◽  
Author(s):  
Alessandro G. Laporta ◽  
Luca Merlo ◽  
Lea Petrella
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models ◽  
Selection Of

scholarly journals Evaluating Value-at-Risk Models with Desk-Level Data

2011 ◽  
Vol 57 (12) ◽  
pp. 2213-2227 ◽  
Author(s):  
Jeremy Berkowitz ◽  
Peter Christoffersen ◽  
Denis Pelletier
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models ◽  
Level Data

A proposal for evaluating value-at-risk models

2000 ◽  
Vol 28 (3) ◽  
pp. 378-378
Author(s):  
Marta Korczak
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models

scholarly journals Value at risk models for Dutch bond portfolios

2000 ◽  
Vol 24 (7) ◽  
pp. 1131-1154 ◽  
Author(s):  
Peter J.G. Vlaar
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models ◽  
Bond Portfolios

scholarly journals Combination of Value-at-Risk Models with Support Vector Machine

2009 ◽  
Vol 16 (5) ◽  
pp. 791-801
Author(s):  
Yong-Tae Kim ◽  
Joo-Yong Shim ◽  
Jang-Taek Lee ◽  
Chang-Ha Hwang
Keyword(s):  
At Risk ◽  
Support Vector Machine ◽  
Value At Risk ◽  
Support Vector ◽  
Risk Models

scholarly journals Regulatory evaluation of value-at-risk models

1998 ◽  
Vol 1 (2) ◽  
pp. 37-63 ◽  
Author(s):  
Jose Lopez
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Models ◽  
Regulatory Evaluation

scholarly journals Zastosowanie metody kowariancji do określenia ryzyka na rynku nieruchomości komercyjnych

2005 ◽  
pp. 127-148
Author(s):  
Ewa Krawczyk
Keyword(s):  
At Risk ◽  
Real Estate ◽  
Capital Market ◽  
Value At Risk ◽  
Net Present Value ◽  
Risk Model ◽  
Fixed Time ◽  
Real Estate Market ◽  
Risk Models ◽  
Banking Institutions

The Value at Risk model allows answering the base question asked by investor. How much money could be lost with given financial resources involved into given project, in fixed time and fixed risk preference The covariance method used to estimate VaR is static model, but analytic manner of computing allows, after essential analysis, to determine value at risk relatively clearly and quickly. Presented attempt of initiating tool to analyzing quantified risk of investment on real estate market, specialized for capital market, gives observations: a) in the situation of significant growth of investments on real estate market, financed mainly by banking institutions, there is necessity to work out risk models for this market segment, allowing to limit excessive losses caused by too optimistic prices and inappropriate calculations of the effectiveness of the investment, b) well known and used risk models for capital market are basics for connection the both market segments - capital and real - and empirical verification, including investing projects, c) VaR model can be used for determining quantified risk of an investing project, characterized by profitability ratio Net Present Value, but received results should be treated with limited confidence.

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