Sharma, Bhanu; Thulasiram, Ruppa K.; Thulasiraman, Parimala - In: The Journal of Risk Finance 16 (2015) 2, pp. 170-189
Purpose – Value-at-risk (VaR) is a risk measure of potential loss on a specific portfolio. The main uses of VaR are in risk management and financial reporting. Researchers are continuously looking for new and efficient ways to evaluate VaR, and the 2008 financial crisis has given further...