scholarly journals Market Risk Model agricolture portfolio value-at-risk

2020 ◽  
Author(s):  
Giulio Carlone
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Model ◽  
Stock Exchange ◽  
Market Risk ◽  
Point Of View ◽  
Market Model ◽  
Basel Accords ◽  
Price Distortions ◽  
Portfolio Investments

Abstract Thinking about this current extreme scenario of stock exchange observed in a world scenario perspective and the related choices for worldbank portfolio investments in Agricolture commodity, this study its based in an advanced economic observation and analisys of the Agricolture commodity in a scenario of portfolio diversification without have the market risk default. This study its based in an advanced financial strategy to define the market model composed of London stock exchange agricolture commodity observed first in a London scenario and second in a Europe scenario and finally in a world scenario. The authorities regulation and the requirements used to define , the mathematical point of view and to describe , the market value at risk point of view , have been standardized in this empirical market model. The commodity scenario observed and the empirical market model defined to observe the max price distortions of the agricolture commodity defined and defined to observe the porfolio value at risk , are in this market model well described and standardized. Authorities are interested in the empirical market model to observe the VaR data because they are interested in a bank’s ability to withstand extreme events. VaR is monitored and is sanctioned by regulators defined in the Basel accords. The observed price are used in a variable choice of number of data price observation of five price for week a data price observation of one prices for week and a data price observation of two price for week and further similar strategies .

scholarly journals An analytical method of estimating Value-at-Risk on the Belgrade Stock Exchange

2009 ◽  
Vol 54 (183) ◽  
pp. 119-138 ◽  
Author(s):  
Milica Obadovic ◽  
Mirjana Obadovic
Keyword(s):  
At Risk ◽  
Failure Rate ◽  
Confidence Level ◽  
Analytical Method ◽  
Value At Risk ◽  
Risk Evaluation ◽  
Risk Model ◽  
Stock Exchange ◽  
Confidence Levels ◽  
The Given

This paper presents market risk evaluation for a portfolio consisting of shares that are continuously traded on the Belgrade Stock Exchange, by applying the Value-at-Risk model - the analytical method. It describes the manner of analytical method application and compares the results obtained by implementing this method at different confidence levels. Method verification was carried out on the basis of the failure rate that demonstrated the confidence level for which this method was acceptable in view of the given conditions.

scholarly journals Major Crops Market Risk Based on Value at Risk Model in P.R. China

2018 ◽  
Vol 34 (2) ◽  
Author(s):  
Abdur Rehman ◽  
Wang Jian ◽  
Noor Khan ◽  
Raheel Saqib
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Model ◽  
Market Risk

scholarly journals Value-at-Risk Estimation of Equity Market Risk in India

2021 ◽  
Vol 9 (1) ◽  
pp. 1-24
Author(s):  
Jitender
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange ◽  
Risk Estimation ◽  
Moving Average ◽  
Equity Market ◽  
Market Risk ◽  
Financial Instrument ◽  
Historical Simulation ◽  
Distributed Models

Abstract The value-at-risk (Va) method in market risk management is becoming a benchmark for measuring “market risk” for any financial instrument. The present study aims at examining which VaR model best describes the risk arising out of the Indian equity market (Bombay Stock Exchange (BSE) Sensex). Using data from 2006 to 2015, the VaR figures associated with parametric (variance–covariance, Exponentially Weighted Moving Average, Generalized Autoregressive Conditional Heteroskedasticity) and non-parametric (historical simulation and Monte Carlo simulation) methods have been calculated. The study concludes that VaR models based on the assumption of normality underestimate the risk when returns are non-normally distributed. Models that capture fat-tailed behaviour of financial returns (historical simulation) are better able to capture the risk arising out of the financial instrument.

scholarly journals Applying three VaR (value at risk) approaches in measuring market risk of stock portfolio: The case study of VN-30 stocks basket in HOSE

2017 ◽  
Vol 24 (02) ◽  
pp. 90-113
Author(s):  
Thinh Nguyen Quang ◽  
Quy Vo Thi
Keyword(s):  
At Risk ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Value At Risk ◽  
Stock Price ◽  
Stock Exchange ◽  
Market Risk ◽  
Risk Models ◽  
Historical Simulation ◽  
Back Testing

This study examines and applies the three statistical value at risk models including variance-covariance, historical simulation, and Monte Carlo simulation in measuring market risk of VN-30 portfolio of Ho Chi Minh stock exchange (HOSE) in Vietnam stock market and some back-testing techniques in assessing the validity of the VaR performance in the timeframe of January 30, 2012–February 26, 2016. The models are constructed from two volatility methods of stock price: SMA and EWMA throughout the five chosen confi-dence level: 90%, 93%, 95%, 97.5%, and 99%. The findings of the study show that the differences among the results of three models are not significant. Additionally, three VaR (Value at Risk) models have generally the similar accepted range assessed in both types of back-tests at all confidence levels considered and at the 97.5% con-fidence level. They can work best to achieve the highest validity level of results in satisfying both conditional and unconditional back-tests. The Monte Carlo Simulation (MCS) has been considered the most appropriate method to apply in the context of VN-30 port-folio due to its flexibility in distribution simulation. Recommenda-tions for further research and investigations are provided according-ly.

scholarly journals Value at risk: Evidence from Pakistan Stock Exchange

2011 ◽  
Vol 5 (17) ◽  
pp. 7474-7480 ◽  
Author(s):  
Nawaz Faisal ◽  
Afzal Muhammad
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Stock Exchange

Multifractal Value at Risk model

2016 ◽  
Vol 451 ◽  
pp. 113-122 ◽  
Author(s):  
Hojin Lee ◽  
Jae Wook Song ◽  
Woojin Chang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Model

scholarly journals Collective Value-At-Risk (Colvar) In Life Insurance Collection

2018 ◽  
Vol 7 (3.7) ◽  
pp. 25
Author(s):  
Abdul Talib Bon ◽  
Muhammad Iqbal Al-Banna Ismail ◽  
Sukono . ◽  
Adhitya Ronnie Effendie
Keyword(s):  
At Risk ◽  
Standard Deviation ◽  
Life Insurance ◽  
Value At Risk ◽  
Risk Model ◽  
Risk Measures ◽  
Model Development ◽  
Insurance Company ◽  
Insurance Claims ◽  
Level Of Significance

Analysis of risk in life insurance claims is very important to do by the insurance company actuary. Risk in life insurance claims are generally measured using the standard deviation or variance. The problem is, that the standard deviation or variance which is used as a measure of the risk of a claim can not accommodate any claims of risk events. Therefore, in this study developed a model called risk measures Collective Modified Value-at-Risk. Model development is done for several models of the distribution of the number of claims and the distribution of the value of the claim. Collective results of model development Modified Value-at-Risk is expected to accommodate any claims of risk events, when given a certain level of significance  

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