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Contemporary financial risk management : the role of value at risk (VAR) models ; an academic perspective
Bhattacharyya, Malay - In: IIMB management review 20 (2008) 3, pp. 292-296
Persistent link: https://www.econbiz.de/10003806128
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How risky are the options? : a comparison with the underlying stock using MaxVaR as a risk measure
Patra, Saswat; Bhattacharyya, Malay - In: Risks : open access journal 8 (2020) 3/76, pp. 1-17
This paper investigates the risk exposure for options and proposes MaxVaR as an alternative risk measure which captures the risk better than Value-at-Risk especially. While VaR is a measure of end-of-horizon risk, MaxVaR captures the interim risk exposure of a position or a portfolio. MaxVaR is...
Persistent link: https://www.econbiz.de/10012293244
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Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?
Das, Debojyoti; Kannadhasan, M.; Bhattacharyya, Malay - In: The North American journal of economics and finance : a … 48 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012120169