Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the … corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR … concept suffers from two problems: how to estimate VaR and how to optimize a portfolio for a given level of VaR? For the first …

This paper proposes a method for estimating the VaR of a portfolio based on copula and extreme value theory. Each …

This paper examines different multivariate models to evaluate what are the main determinants when doing VaR forecasts … and the time sample used for VaR backtesting. The calculated VaR values are then compared using three different testing …

, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …

Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the … corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR … concept suffers from two problems: how to estimate VaR and how to optimize a portfolio for a given level of VaR? For the first …

performs relatively best in term of MSPE, followed by GARCH, Risk metrics and historical volatility. In terms of VaR, we test … that VaR forecasts at 90 % and 95% have desirable properties. Regarding 99% VaR forecasts, We find significant evidence …

evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study …

evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study …