I implement the accounting-based risk measurement approach in equity valuation proposed by Nekrasov and Shroff (2009 … this risk measurement approach produce a significantly smaller valuation inaccuracy relative to the market-based approach … intrinsic value estimate based on the accounting approach. Additionally, the estimated risk can be transformed to obtain …

This paper proposes dynamic copula and marginals functions to model the joint distribution of risk factor returns … marginal distributions from the dependence structure and estimate portfolio Value-at-Risk, assuming for the risk factors a …