Value at Risk (VaR) Backtesting Techniques and P-Value Risk Decomposition Analysis

2014 ◽  
Author(s):  
Ali Shirazi
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Decomposition Analysis ◽  
P Value ◽  
Risk Decomposition

scholarly journals Deposit Mudarabah Investment Risk Analysis Method Value at Risk (VaR)

2020 ◽  
Vol 4 (02) ◽  
Author(s):  
Iin Emy Prastiwi
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Financial Statements ◽  
Risk Level ◽  
P Value ◽  
Investment Risk ◽  
Average Risk ◽  
Risk And Return ◽  
Net Return ◽  
Significant Probability

Abstract The purpose of this study is to understand the risk and return on net return on mudharabah deposits in Islamic banks using the Value at Risk (VaR) approach. The objects in this study are quarterly financial statements of Bank Syariah Mandiri, Bank BRI Syariah, and Muamalat Bank for three years, 2015-2017. The VaR analysis results show that the average risk of mudharabah deposit investment for 3 years in Bank Syariah Mandiri is 2015 at 6.61% and net return -0.53%, in 2016 the risk is 0.14% and net return 3.21 %, in 2017 the risk is 0.17% and net return is 0.32%. BRI Syariah Bank is 2015 at 0.08% and net return of 4.28%, in 2016 the risk is 0.07% and net return 3.77%, in 2017 the risk is 0.08% and net return 42.81% . and Bank Muamalat is 2015 at 0.63% and net return of 0.04%, in 2016 the risk is 0.40% and net return is 0.08%, in 2017 the risk is 0.14% and net return is 0.26%. In addition there are differences in the level of risk and return (net return) in Bank Syariah Mandiri, BRI Syariah, and Muamalat Bank with significant probability (p-value) for the risk level of 0.005 and return (net return) of 0.045. From the risk level and net return for three years, BRI Syariah Bank is a bank that has prospective value. Key Words : VaR, risk, net return, mudharabah deposit

Value-at-Risk and Capital

2019 ◽  
pp. 16-27
Author(s):  
Hyun Song Shin
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Asset Prices ◽  
Demand Curve ◽  
P Value

Value-at-Risk rule keeps the probability of insolvency constant by adjusting leverage. When asset prices change, this rule implies that the demand curve is upward sloping, and can set off margin spirals

scholarly journals Fitted Copula Statistical Models for Four African and Four Major Stock Markets

2021 ◽  
pp. 195-227
Author(s):  
Ngozi Fidelia Adum ◽  
Happiness Onyebuchi Obiora-Ilouno ◽  
Francis Chukwuemeka Eze
Keyword(s):  
At Risk ◽  
Akaike Information Criterion ◽  
Stock Markets ◽  
Value At Risk ◽  
Information Matrix ◽  
Information Criterion ◽  
Alternative Methods ◽  
Dependence Structure ◽  
P Value ◽  
Copula Models

The application of copula has become popular in recent years. The use of correlation as a dependence measure has several pitfalls and hence the application of regression prediction model using this correlation may not be an appropriate method. In financial markets, there is often a non-linear dependence between returns. Thus, alternative methods for capturing co-dependency should be considered, such as copula based ones. This paper studies the dependence structure between the four largest African stock markets in terms of market capitalization and other developed stock markets over the period 2003 to 2018 using copula models. The value at risk was used to determine the risk associated with the stock. The ten copula models were fitted to the log returns calculated from the data, two countries at a time of the twenty-eight pairs and examined. The Gumbel copula gives the best fit in terms of log-likelihood values, value of the Akaike information criterion, value of the Bayesian information criterion, value of the consistent Akaike information criterion, value of the corrected Akaike information criterion, value of the Hannan Quinn criterion and p-value of the information matrix equality of White. Estimates of value at risk with probability p for daily returns were computed using the best fitted copula model, from these value at risk, it is seen that SA/FTSE100 have the least risk while EGY/KEN has the highest risk. Prediction is given in terms of correlation and value at risk.

Reduced-bias and partially reduced-bias mean-of-order-p value-at-risk estimation: a Monte-Carlo comparison and an application

2020 ◽  
Vol 90 (10) ◽  
pp. 1735-1752
Author(s):  
M. Ivette Gomes ◽  
Frederico Caeiro ◽  
Fernanda Figueiredo ◽  
Lígia Henriques-Rodrigues ◽  
Dinis Pestana
Keyword(s):  
At Risk ◽  
Monte Carlo ◽  
Value At Risk ◽  
Risk Estimation ◽  
P Value

scholarly journals THE ESTIMATION AND DECOMPOSITION OF VALUE-AT-RISK FOR NON-NORMAL PORTFOLIO RETURNS

2013 ◽  
Vol 14 (Supplement_1) ◽  
pp. S213-S226
Author(s):  
Doowoo Nam
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Analytical Methods ◽  
Value At Risk ◽  
Decomposition Analysis ◽  
Market Risk ◽  
Management Tool ◽  
Portfolio Returns ◽  
Var Decomposition ◽  
The Individual

Value-at-risk (VaR) is a widely used measure for evaluating the market risk of a trading portfolio. This article presents the g-and-h method for estimating the VaR of a portfolio with non-normal returns, and adds to the usefulness of VaR as a risk management tool by decomposing the portfolio into individual VaRs to estimate the contribution of the individual components toward the overall VaR. While the VaR decomposition is algebraically simple under the assumption of normality, that is not the case under non-normality which is the property exhibited by most financial returns. We show that, by using the g-and-h VaR method, the decomposition analysis under non-normality can be performed with the same degree of intuitiveness and ease as for the analytical methods based on the assumption of normality.

Extremwerttheorie und Value-at-Risk

2015 ◽  
Vol 44 (5) ◽  
pp. 259-267
Author(s):  
Frank Schuhmacher ◽  
Benjamin R. Auer
Keyword(s):  
At Risk ◽  
Value At Risk

Value at Risk

Controlling ◽  
2004 ◽  
Vol 16 (7) ◽  
pp. 425-426
Author(s):  
Mischa Seiter ◽  
Sven Eckert
Keyword(s):  
At Risk ◽  
Value At Risk

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
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