Market Risk and Value at Risk Analysis

2016 ◽  
pp. 62-81
Author(s):  
Hans Keiding
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Value At Risk ◽  
Market Risk

scholarly journals PENDEKATAN METODE MARKOWITZ UNTUK OPTIMALISASI PORTOFOLIO DENGAN RISIKO EXPECTED SHORTFALL (ES) PADA SAHAM SYARIAH DILENGKAPI GUI MATLAB

2022 ◽  
Vol 10 (4) ◽  
pp. 508-517
Author(s):  
Umiyatun Muthohiroh ◽  
Rita Rahmawati ◽  
Dwi Ispriyanti
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Confidence Level ◽  
Value At Risk ◽  
Expected Shortfall ◽  
Optimal Portfolio ◽  
Optimal Portfolios

A portfolio is a combination of two or more securities as investment targets for a certain period of time with certain conditions. The Markowitz method is a method that emphasizes efforts to maximize return expectations and can minimize stock risk. One method that can be used to measure risk is Expected Shortfall (ES). ES is an expected measure of risk whose value is above Value-at-Risk (VaR). To make it easier to calculate optimal portfolios with the Markowitz method and risk analysis with ES, an application was made using the Matlab GUI. The data used in this study consisted of three JII stocks including CPIN, CTRA, and BSDE stocks. The results of the portfolio formation with the Markowitz method obtained an optimal portfolio, namely the combination of CPIN = 34.7% and BSDE = 65.3% stocks. At the 95% confidence level, the ES value of 0.206727 is greater than the VaR value (0.15512).  

MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH

2008 ◽  
Vol 11 (05) ◽  
pp. 447-469 ◽  
Author(s):  
TIMOTHEOS ANGELIDIS ◽  
GEORGE SKIADOPOULOS
Keyword(s):  
At Risk ◽  
Hedge Funds ◽  
Value At Risk ◽  
Statistical Tests ◽  
Market Risk ◽  
Freight Rate ◽  
Freight Rates ◽  
Rate Risk ◽  
Risk Approach ◽  
Non Parametric

The fluctuation of shipping freight rates (freight rate risk) is an important source of market risk for all participants in the freight markets including hedge funds, commodity and energy producers. We measure the freight rate risk by the Value-at-Risk (VaR) approach. A range of parametric and non-parametric VaR methods is applied to various popular freight markets for dry and wet cargoes. Backtesting is conducted in two stages by means of statistical tests and a subjective loss function that uses the Expected Shortfall, respectively. We find that the simplest non-parametric methods should be used to measure freight rate risk. In addition, freight rate risk is greater in the wet cargoes markets. The margins in the growing freight derivatives markets should be set accordingly.

scholarly journals Value-at-risk and Tsallis statistics: risk analysis of the aerospace sector

2004 ◽  
Vol 344 (3-4) ◽  
pp. 554-561 ◽  
Author(s):  
Adriana P. Mattedi ◽  
Fernando M. Ramos ◽  
Reinaldo R. Rosa ◽  
Rosario N. Mantegna
Keyword(s):  
At Risk ◽  
Risk Analysis ◽  
Value At Risk ◽  
Tsallis Statistics ◽  
Aerospace Sector
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