scholarly journals Value at Risk Prediction: The Failure of RiskMetrics in Preventing Financial Crisis. Evidence from Romanian Capital Market

2015 ◽  
Vol 20 ◽  
pp. 433-442
Author(s):  
Dumitru-Cristian Oanea ◽  
Gabriela Anghelache
Keyword(s):  
At Risk ◽  
Financial Crisis ◽  
Risk Prediction ◽  
Capital Market ◽  
Value At Risk

scholarly journals Bank Value at Risk (VAR) disclosures. A missed leading indicator to the Financial Crisis of 2008?

2020 ◽  
Vol 9 (3) ◽  
pp. 1
Author(s):  
Kiran Parthasarathy
Keyword(s):  
At Risk ◽  
Financial Crisis ◽  
Repeated Measures ◽  
Value At Risk ◽  
Annual Reports ◽  
Us Economy ◽  
Leading Indicator ◽  
Financial Crisis Of 2008 ◽  
Single Number ◽  
Risk Disclosures

The financial crisis of 2008 led to devastating consequences such as bankruptcies and recession in the US economy. Many big banks were at the forefront owing to their risk exposures and open positions. Prior research documents that bank financial statements did not provide adequate lead indicators on the looming crisis in reducing information asymmetry. However, there is no prior research focused on the sufficiency of risk disclosures around this time period. This paper seeks to address this gap using Bank Value at Risk (VAR), a single number publicly disclosed in the annual reports of banks. Bank VAR attempts to quantify the worst possible loss the bank expects to have on its trading portfolios under normal market conditions. Using hand-collected data from the annual reports of the top twelve US banks, this study documents that the change in VAR was steady and positive until the point of the crisis and then decreased in the years thereafter. A repeated-measures analysis of variance model is used to study whether two indicators of VAR (year-to-year change in VAR and log-transformed ratio of VAR to the total trading revenue) differ from pre-crisis to the post-crisis levels. Both VAR indicators reveal an increasing trend pre-crisis and are significantly higher pre-crisis compared to post-crisis. This opens the possibility that the trend of VAR might have information content as a potential leading indicator of the crisis. The finding sheds light on efficacy of risk analysis in ­­bank trading portfolios and could have implications for governance.

scholarly journals Estimating the Value-at-Risk for some stocks at the capital market in Indonesia based on ARMA-FIGARCH models

2017 ◽  
Vol 909 ◽  
pp. 012040 ◽  
Author(s):  
Sukono ◽  
E. Lesmana ◽  
D. Susanti ◽  
H. Napitupulu ◽  
Y. Hidayat
Keyword(s):  
At Risk ◽  
Capital Market ◽  
Value At Risk ◽  
The Capital Market

scholarly journals Analisis Tipologi Saham Syariah Di Bursa Efek Indonesia Berdasarkan Nilai Return Dan Resiko (Value At Risk) Pasca Krisis Global 2008

2012 ◽  
Vol 1 (1) ◽  
pp. 17
Author(s):  
Mohammad Farhan Qudratullah
Keyword(s):  
At Risk ◽  
High Risk ◽  
Risk Analysis ◽  
Capital Market ◽  
Value At Risk ◽  
Low Risk ◽  
Global Crisis ◽  
Analysis Tools ◽  
High Return

Since the signed memorandum of understanding between BAPEPAM with Dewan Syariah Nasional-Majelis Ulama Indonesia (DSN-MUI) on the principle of Islamic capital market in 2003, the Islamic capital market in Indonesia has developed significantly. In each investment, including Islamic capital market investment, there are 2 (two) fundamental things that always accompany it, the return and risks. This paper discusses the analysis of return and risk of sharia stocks that always go in Jakarta Islamic Index (JII) after the global crisis in 2008, risk analysis tools using Value at risk (VaR) approach to model the Generalized Autoregressive Conditional  Heteroscedastic (GARCH), then proceed with the analysis of the typology to determine the characteristics of these stocks. The results that shares sharia can be grouped into 4 (four) :  6 (six) shares entering the low return and low risk (TLKM, UNVR, SMGR, AALI, ELSA, and SGRO), 3 (three ) shares into group of low-return but high risk (INCO, ANTM, and TINS), 3 (three) shares enter the group of low risk but high return (PTBA, LSIP, and KLBF), and 4 (four) shares enter the group high return but high risk (ITMG, ASII, INTP, and BMTR).

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.

scholarly journals Value at risk estimation and validation in the Serbian capital market in the period 2005-2015

Bankarstvo ◽  
2016 ◽  
Vol 45 (1) ◽  
pp. 14-41 ◽  
Author(s):  
Zoran Jeremic ◽  
Ivica Terzic ◽  
Marko Milojevic
Keyword(s):  
At Risk ◽  
Capital Market ◽  
Value At Risk ◽  
Risk Estimation
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