scholarly journals Market Risk Measurement and the Cattle Feeding Margin: An Application of Value-at-Risk

1999 ◽  
Author(s):  
Mark R. Manfredo ◽  
Raymond M. Leuthold
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Market Risk ◽  
Risk Measurement ◽  
Cattle Feeding

scholarly journals Market Risk Measurement

2020 ◽  
Author(s):  
Emese Lazar ◽  
Ning Zhang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Preliminary Analysis ◽  
Risk Measures ◽  
Market Risk ◽  
Capital Requirements ◽  
Risk Measurement ◽  
Regulatory Framework ◽  
Bank Capital ◽  
Bank Capital Requirements

This chapter presents a preliminary analysis on how some market risk measures dramatically increased during the COVID-19 pandemic, with measures computed over longer horizons experiencing more pronounced effects. We provide examples when regulatory market risk measurement proved to be suboptimal, overestimating risk. A further issue was the large number of Value-at-Risk ‘exceptions’ during the first few months of the crisis, which normally leads to overinflated bank capital requirements. The current regulatory framework should address these problems by suggesting improvements to the calculation of risk measures and/or by modifying the rules which determine capital requirements to make them appropriate and realistic in crisis situations.

scholarly journals Pomiar ryzyka rynkowego miarą wartoś​ci zagrożonej. Metoda kombinowania prognoz ​

2018 ◽  
pp. 183-198
Author(s):  
Piotr Mazur
Keyword(s):  
At Risk ◽  
Financial Institutions ◽  
Value At Risk ◽  
Risk Measure ◽  
Market Risk ◽  
Risk Measurement ◽  
Conditional Value At Risk ◽  
Parametric Methods ◽  
Combining Forecasts

The article discusses the measurement of market risk by Value at Risk method. Value at Risk measure is an important element of risk measurement mainly for financial institutions but can also be used by other companies. The Value at Risk is presented together with its alternative Conditional Value at Risk. The main methods of VaR estimation were divided into nonparametric, parametric and semi-parametric methods. The next part of the article presents a method of combining forecasts, which can be used in the context of forecasting Value at Risk.

Market risk and the cattle feeding margin: An application of Value-at-Risk

Agribusiness ◽  
2001 ◽  
Vol 17 (3) ◽  
pp. 333-353 ◽  
Author(s):  
Mark R. Manfredo ◽  
Raymond M. Leuthold
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Market Risk ◽  
Cattle Feeding

scholarly journals Evaluasi Kualitas Pengungkapan Value at Risk Perbankan Indonesia

2019 ◽  
pp. 276
Author(s):  
Buddi Wibowo ◽  
Hasna Fadhila
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Simulation Method ◽  
Market Risk ◽  
Risk Measurement ◽  
Risk Level ◽  
Risk Disclosure ◽  
Historical Simulation ◽  
Risk Disclosures

Market risk measurement of bank investment portfolios is a still problem not only among practitioners, but  also among academicians. The accuracy and quality of market risk disclosures are important issues because  transparency of the bank risk level encourages market control in the form of market discipline and it also  improve the quality of risk management carried out internally by the bank. This research measures the quality of Value at Risk disclosures carried out by Indonesian banks. The accuracy of Value at Risk in this research is measured from the Value at Risk component which contains information of yield volatility of bank trading treasury activities. To measure Value at Risk disclosure, this research runs various methods of Value at Risk measurement. This research shows Historical Simulation is a Value at Risk method that is most widely used by Indonesia banks. The empirical test results show that the Value at Risk parametric method using asymmetric volatility have better quality than the Value at Risk Historical Simulation method. This research shows that Value at Risk as measured by Historical Simulation method contains the least information of bank trading treasury yields. Keywords: value at risk; disclosure; market risk; volatility

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).

The Value-at-Risk Methodology of Basel II and Basel III

2014 ◽  
pp. 100-114 ◽  
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Basel Ii ◽  
Risk Measurement ◽  
Capital Adequacy ◽  
Basel Iii ◽  
Regulatory Capital ◽  
Advantages And Disadvantages ◽  
Risk Methodology

This chapter examines the advantages and disadvantages of the risk estimate approach—Value-at-Risk (VaR) which has been extensively embraced by regulators and practitioners in financial markets under the Basel II & III framework as the basis of risk measurement, both for the purpose of ensuring regulatory capital adequacy, and risk management and strategic planning at industry level.

Sign in / Sign up

Export Citation Format

Share Document