Dynamic factor Value-at-Risk for large heteroskedastic portfolios

conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market

ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...

Value at Risk bounds for portfolios of non-normal returns

This paper studies Value at Risk (VaR) bounds for sums of stochastically dependent random variables, i.e. portfolios of correlated financial assets. The bounds hold under no restrictions on the dependence or on the marginal distributions of returns. An improvement of the bounds is given for positive (quadrant) dependent rvs. Both sets of bounds are computed for portfolios of 6 international ind...

Approaches to Computing Value- At-risk for Equity Portfolios

Financial risks can be broadly classified into several categories, namely market risk, credit risk, liquidity risk, operational risk, and legal risk [1]. Market risk is the risk of loss arising from changes in the value of tradable or traded assets. Credit risk is the risk of loss due to the failure of the counterparty to pay the promised obligation. Liquidity risk is the risk of loss arising f...

Dynamic Value-at-Risk

Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios

One of the major problem faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does not specify the way to calculate Valueat-Risk. The easiest way to calculate Value-at-Risk is to assume that portfolio returns are normally distributed. Altough, ...