scholarly journals Risk evaluation on leading companies in property and real estate subsector at IDX: A Value-at-Risk with ARMAX-GARCHX approach and duration test

2018 ◽  
Vol 979 ◽  
pp. 012094 ◽  
Author(s):  
Dedy Dwi Prastyo ◽  
Dwi Handayani ◽  
Soo-Fen Fam ◽  
Santi Puteri Rahayu ◽  
Suhartono ◽  
...  
Keyword(s):  
At Risk ◽  
Real Estate ◽  
Value At Risk ◽  
Risk Evaluation ◽  
A Value

Stress Testing in a Value at Risk Framework

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 76-78
Author(s):  
Thomas J. Latta
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stress Testing ◽  
A Value ◽  
Risk Framework

Boom and Bust Driven by Value-at-Risk

2019 ◽  
pp. 28-55
Author(s):  
Hyun Song Shin
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Hedge Fund ◽  
Balance Sheet ◽  
Asset Returns ◽  
Expected Returns ◽  
Capital Management ◽  
A Value ◽  
Boom And Bust

An example of a hedge fund illustrates a long-short strategy that maximises expected returns subject to a Value-at-Risk strategy. Balance sheet capacity depends on the measured volatility of asset returns and the book equity of the long-short hedge fund. The principles are illustrated by the case of Long Term Capital Management (LTCM).

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