The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation …. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …

We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given … value-at-risk and expected shortfall, but the approach also works for other risk measures. …

VaR models are useful only if they predict future risks accurately. Results show that risk managers can use SMA (100) and …Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple …

loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach … 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one … determine the prediction of JKII price and the loss risk through GBM and VaR using a Monte Carlo simulation approach. …