Value-at-Risk (VaR) is increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR techniques. The purpose of this paper is to assess the precision of common dynamic models and to quantify the magnitude of the estimation error by constructing confidence interval...

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...

Fossil energy markets have always been known as strategic and important markets. They have a significant impact on the macro economy and financial markets of the world. The nature of these markets are accompanied by sudden shocks and volatility in the prices. Therefore, they must be controlled and forecasted by using appropriate tools. This paper adopts the Generalized Auto Regressive Condition...

Within the field of finance, Value-at-Risk (VaR) is a widely adopted tool to assess portfolio risk. When calculating VaR based on historical stock return data, the data could be sensitive to outliers caused by seldom occurring news events in the sampled period. Using a data set of news events, of which the irregular events are identified using a Poisson distribution, we research whether the VaR...

The purposes of this paper are two-fold. On the one hand, we shall provide a decision analysis justification for the Value at Risk (VaR) approach based on ex-post, disappointment decision making arguments. We shall show that the VaR approach is justified by a disappointment criterion. In other words, the asymmetric valuation between ex-ante expected returns above an appropriate target return an...

Purpose of the paper The Basel Committee regulations require the estimation of Value-at-Risk at 99% confidence level for a 10-trading-day-ahead forecasting horizon. The paper provides a multivariate modelling framework for multi-period VaR estimates for leptokurtic and asymmetrically distributed real-estate portfolio returns. The purpose of the paper is to estimate accurate 10-day-ahead 99% VaR...

Recent literature deals with bounds on the Value-at-Risk (VaR) of risky portfolios when only the marginal distributions of the components are known. In this paper we study Value-at-Risk bounds when the variance of the portfolio sum is also known, a situation that is of considerable interest in risk management. We provide easy to calculate Value-at-Risk bounds with and without variance constrain...

This paper introduces a Value-at-Risk (VaR) model to generate route choices for a hazmat shipment based on a specified risk confidence level. The objective is to determine a route which minimizes the likelihood that the risk will be greater than a set threshold. Several properties of the VaR model are established. An exact solution procedure is proposed and tested to solve the single-trip probl...

This paper examines the consequences for a life annuity insurance company if the solvency II solvency capital requirements (SCR) are calibrated based on expected shortfall (ES) instead of value-at-risk (VaR). We focus on the risk modules of the SCRs for the three risk classes equity risk, interest rate risk and longevity risk. The stress scenarios are determined using the calibration method pro...