The Value-at-Risk (VaR) metric serves as a pivotal tool for quantifying market risk, offering an estimation of … implications for managerial decision-making in financial risk management. …

This study aims at developing econometric models to manage the price risk of Dry and Wet Cocoa beans with the help of … risk, precisely for Cocoa traders, Chocolate manufacturers, Cocoa growers, and the government for planning and decision …

ready-made approaches to risk management analysis. However, EVT is usually applied to standardized returns to offer more …

One of the key components of financial risk management is risk measurement. This typically requires modeling …

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to …

investment decisions. The used risk attribution quantification models GARCH (1.1), EGARCH (1.1), GARCH-M (1.1) and TGARCH (1 ….1) are adapted to predict the volatility of investment funds. The current development focuses on forecasting the risk … of the models GARCH, EGARCH and GARCH-M with the highest risk concentration the investment fund "Golden Lev Index 30 …

and calculation of risk measures. Parameters are estimated on three bivariate series, using a two-stage methodology … features. As an application, we consider investment strategies for a portfolio with two risky assets and a risk-free cash … account. We calculate value-at-risk (VaR) values at a 95% risk level using both simulation-based and distribution …

an effective investor risk-return profile during market crisis periods. Moreover, we show that, via a forward … more sustainable while representing an efficient risk-control solution for long time period investments. …

in the last decade to the analysis of volatility and risk management in cryptocurrency investment. Our samples include … cryptocurrencies’ volatility and also according to their main findings pertaining to volatility and risk management in those assets and … consider the support vector machines (SVM). We also argue that the predictability of volatility, risk reduction, and level of …