scholarly journals Analysis of the Exposure to Losses of Brazilian ETFs According to the Value at Risk (VAR) and Expected Shortfall (ES) Market Risk Assessment Techniques

2014 ◽  
Vol 11 (4) ◽  
pp. 84-106
Author(s):  
Getúlio Matos ◽  
Robert Iquiapaza ◽  
Bruno Ferreira
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Market Risk ◽  
Expected Shortfall ◽  
Assessment Techniques

scholarly journals RISK OF INDONESIAN BANKS: AN APPLICATION OF HISTORICAL EXPECTED SHORTFALL METHOD

2015 ◽  
Vol 17 (3) ◽  
pp. 299-314
Author(s):  
Nevi Danila ◽  
Bunyamin Bunyamin ◽  
Siti Munfaqiroh
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Balance Sheet ◽  
Market Risk ◽  
Expected Shortfall ◽  
Jel Classification ◽  
Small Enterprise ◽  
Basel Committee ◽  
Market Risks

Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans. Keywords: expected shortfall, value at risk, banks, risk. JEL Classification: D81, G210

scholarly journals THE PERSISTENCY AND THE SUSTAINABILITY OF THE INDONESIA'S CURRENT ACCOUNT DEFICIT

2015 ◽  
Vol 17 (3) ◽  
pp. 315-338
Author(s):  
Tuti Eka Asmarani
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Current Account Deficit ◽  
Balance Sheet ◽  
Expected Shortfall ◽  
Jel Classification ◽  
Small Enterprise ◽  
Basel Committee ◽  
Market Risks

Asian and European crises were witnesses of banks’ vulnerable due to market risks. The Basel Committee requires an internal risk assessment applying Value at Risk (VaR). However, a replacement of VaR with Expected Shortfall (ES) has been suggested recently due to an excessive losses produced by banks which are beyond VaR estimations. This paper studied the risk of Indonesian banks applying a historical expected shortfall. We used JIBOR (overnight) from 2009 – 2012 as a proxy of market risk. The assessment of a historical expected shortfall of the net position of 27 banks accounts for October 2012 showed that state owned banks placed among the five highest value of each component (net position) in the balance sheet, namely placement to Bank Indonesia, interbank placement, spot and derivatives claims, securities, and loans. It means that the state owned banks had the highest risk and were the most aggressive among Indonesian banks. It might be due to carrying some of the government’s program, such as small enterprise loans.  Keywords: expected shortfall, value at risk, banks, risk. JEL Classification: D81, G210

Portfolio Market Risk Assessment Using Value-at-Risk (VaR) Method – Historical Stimulation

2019 ◽  
Vol 11 (1) ◽  
Author(s):  
Sergei Radukanov ◽  
◽  
◽  
Keyword(s):  
Risk Assessment ◽  
At Risk ◽  
Value At Risk ◽  
Theoretical Aspect ◽  
Market Risk ◽  
Risk Measurement ◽  
Gamble Company ◽  
Historical Simulation ◽  
Toyota Motor Corporation

One of the main VaR methods on theoretical aspect – Historical Simulation to Portfolio is explained in this article. Portfolio market risk measurement is carried out towards the shares of the particular companies – The Procter & Gamble Company (PG), Toyota Motor Corporation (TM) and Nokia Corporation (NOK).

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